Tuesday, April 22, 2008

Addisional Comments on Discretising Continuous Time Finance Models Options

This follows the discussion on discreate time models in: http://sirinath.blogspot.com/2008/04/discratising-continuous-time-finance.html

This is more true in high Gamma (convex) portfolios and there is a larger impact than the continuous time model in -ve Gamma (concave) portfolios.

Suminda Sirinath Salpitikorala Dharmasena


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