Delta and probability question

Discussion in 'Options' started by nravo, Feb 9, 2007.

  1. The difference is your formula does not take into account skew or expected returns. If interest rates get back into the 15%-ish range (or you're in for a very long time), the difference will be important.

    But, like you said, neither measure is terribly accurate ("accurate" meaning the error of the prediction versus observed results is small).
     
    #31     Feb 11, 2007