April 9th, 2007, 11:07 am
well one can in a way describe them as boundary condition..... well i will change my question into a different one...in the array of Prices against Strikes , obtained after the FFT process in a Variance gamma model , are the strikes on the X - axis 'K' or should they be 'K*exp(-Rf*T)'
Last edited by
vikramreddy14 on April 8th, 2007, 10:00 pm, edited 1 time in total.