Thursday, July 26, 2012

Wilmott Forums - Long Gamma Hedge and weekly volatility

Wilmott Forums - Long Gamma Hedge and weekly volatility

www.wilmott.com/messageview.cfm?catid=38&threadid...CachedShare
Shared on Google+. View the post.
2 posts - 2 authors - Jul 25, 2011
Now let?s imagine you are long gamma and you see the stock tends to have a much higher realised vol on weekly returns rather than daily ...

No comments:

Post a Comment