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Some Risk Management limits...
a doubt: in general gamma should be double the delta or is it the other way around??
Some Risk Management limits...
QuoteOriginally posted by: Giannia doubt: in general gamma should be double the delta or is it the other way around??the other way round makes more sense
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Some Risk Management limits...
Gianni,Is it a common rule of thumb for a gamma limit that the gamma should double the delta??