7 Sales executives have 1 million dollars to divide amongst themselves. The most senior sales executive propses a particular split and then...
Martinghoul: Would you mind having a look at what i posted above? Thank you.
That should be 365 * daily variance = (10%)^2
I found this one http://www.wilmott.com/messageview.cfm?catid=3&threadid=5603 Although i am still not clear on the arbitrage arguement (from a...
You can calculate the forward volatility between tenor 1, T1, and tenor 2, T2, using the formula below. Consider: T2> T1 Vol T2-T1=...
Hi just wanted to make sure i was correct in my thinking here: If i am short say a 30 delta call, then spot and vols going higher aren't good...
So basically because deep otm calls/puts have positive dvega/dvol, they will benefit from volatility being volatile itself (ie. as vols go higher...
What is exactly meant by the term 'vol of vol' ? Is it the same as dvega/dvol? I have read that to be long a butterfly is to be long 'vol of...
If your selling high and buying low (on your delta hedging) - then you are short gamma. I'm not sure what you mean by "A" and "B" ? With the...
When you say right about direction, you basically mean buying low and selling high right? So i'm going to take that as you being long gamma in...
Is there a definitive answer to whether or not under and overhedging are equally risky? We could consider 2 cases, a) continuous hedging or b)...
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