New answers tagged greeks
2
votes
Vanna vs volga and vega
I am not sure I agree with @dm63 - this is way too long for a comment, not necessarily a definitive answer though to be honest. I think the fungibility argument is mainly applied / applicable for ...
- 4,773
3
votes
If two models imply the same volatility surface, do their greeks still differ?
Too long for a comment, so:
As mentioned above, and as I think you already know, to each SV model there corresponds a LV model with the same marginals. Both will therefore generate the same vanilla ...
- 4,958
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