z****i
发帖数: 406 | 1 Mark Joshi那本书上的，想不出来。
Assuming Black Scholes, suppose we have a portfolio which is vega neutral,
is it gamma neutral as well?
What if we don't believe in Black Scholes? | a******6
发帖数: 78 | 2 By assume Black Scholes , I guess it means :
V_t + rS V_s + 0.5* \sigma^2 *S^2 *Gamma = rV
first, if Gamma = 0 , then it becomes :
V_t + rS V_s= rV
Then V has nothing to do with \sigma. Then vega = 0.
Second , if vega = 0 , I guess Gamma = 0 as well. We may need some tricks.
【在 z****i 的大作中提到】
: Mark Joshi那本书上的，想不出来。
: Assuming Black Scholes, suppose we have a portfolio which is vega neutral,
: is it gamma neutral as well?
: What if we don't believe in Black Scholes?
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