Take a look at this

Sure but we don't know what it will cost in 3 months time. The question is what is: E_P( E_Q( max(S(t+0.25) - K,0) | F_{t+0.25}) | F_t) where t is current time, F are filtrations, Q is risk neutral measure, P is physical measure. My shortcut for a back of the envelope approximation to this was to a...

Hi guys, I am looking some advice on a simple delta hedging strategy and tying up the end results to Volatility skew.   I am testing a strategy on options which are delta hedged daily using futures and analyse the Average PnL across 5000 Simulations. I am running this for 4 options (100, 95, 90, 85...