Cuchulainn,Thanks. I am not sure if Derman had a typo, but I just copied the authors from his blog.What is the title of the paper? Could someone please help post it?Thanks.
Cuchulainn,Thanks. I am not sure if Derman had a typo, but I just copied the authors from his blog.What is the title of the paper? Could someone please help post it?Thanks.
Derman in his blog mentioned a key result:dP&L = (1/2)Gamma*sigma^2 S^2(realized vol^2 - implied vol^2). and he mentioned Paul and Reza Ahmed have a beautiful paper on this. Could someone please let me know what that paper is?Thanks.