<t>I know that you can compute the P&L of a delta-hedged option by adding up alll the gamma profits - Delta-Hedged Option P&L = 0.5 * Sum (t = 0, t = T) [r(t) ^ 2 - Implied Vol ^ 2 * dt) * Gamma(t)A trader I work with gave me a theory that I can't prove or disprove. Any help would be appreci...

<t>I know that you can compute the P&L of a delta-hedged option by adding up alll the gamma profits - Delta-Hedged Option P&L = 0.5 * Sum (t = 0, t = T) [r(t) ^ 2 - Implied Vol ^ 2 * dt) * Gamma(t)A trader I work with gave me a theory that I can't prove or disprove. Any help would be appreci...

<t>I am trying to use a grid simulation approach to price treasury bond futures. I need to use a grid simulation approach to price the basket intraday. I am creating a uniformly spaced grid of 25 points of 10y yields from -3 std dev to +3 std dev. I can value the basket at each point in the grid. So...

<t>I am trying to use a grid simulation approach to price treasury bond futures. I need to use a grid simulation approach to price the basket intraday. I am creating a uniformly spaced grid of 25 points of 10y yields from -3 std dev to +3 std dev. I can value the basket at each point in the grid. In...

<t>For a given volatility smile, I would like to compute what the change in ATM volatility should be for a given change in the underlying stock price. For example if I have a skew profile like - Strike Volatility 98 12%99 11%100 10% => ATM 101 9.5%102 9% If the stock goes down to 99, the obvious ans...

<t>Does anyone know what the relationship between the gamma of the option and the convexity of the option and the underlying is? I know that for delta - Delta = (Po X Do) / (Pu X Du) where - Po = Price of option Do = Duration of option Pu = Price of underlying bond / future Du = Duration of underlyi...