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relationship between gamma and convexity for option on bond future
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 underlying bond / future Does anyone know something similar for gamma? I tried deriving it and got - Gamma = (Co X Po - Cu X Po X (Do / Du)) / (Pu X Du)^2I don't get correct results using this, so obviously something is incorrect. Please Help.