Monday, July 21, 2008

Open Thoughts on Finance

A long position’s expected returns are path dependent since it can be sold off. A writer’s position is not so in the absence of dynamic hedging.

Implied volatility is a function volatility at the money and vol + vvol + v2vol + … at other strikes.

Labels: , , ,


Post a Comment

Subscribe to Post Comments [Atom]

Links to this post:

Create a Link

<< Home