July 19th, 2007, 7:53 pm
My question is quite possibly stoopid, but here goes...In a simple Black-Scholes world, for a simple option, if I am trying to compute E[max(BSDelta(t))], where T < t < 0 with T as time to expiry. What kind of a function of t, do you expect this thing to be? It should be a simple thing, but somehow I can't wrap my head around it... Can this be expressed analytically, or do you have to monte-carlo the bugger?Gracias in advance...
Last edited by
Martinghoul on July 18th, 2007, 10:00 pm, edited 1 time in total.