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Some Risk Management limits...
Posted: January 27th, 2011, 1:43 pm
by Gianni
a doubt: in general gamma should be double the delta or is it the other way around??
Some Risk Management limits...
Posted: January 27th, 2011, 1:45 pm
by daveangel
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
Some Risk Management limits...
Posted: February 1st, 2011, 7:44 am
by wonjun
Gianni,Is it a common rule of thumb for a gamma limit that the gamma should double the delta??