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We know that the ATM straddle price can be approximated by the formula YATM=12000Sσt. Y_{ATM} = \frac{ 1}{ 2000} S \sigma \sqrt{t}. YATM=20001Sσt. Since gamma is the second (partial) derivative with respect to the underlying price SS S, the gamma of the straddle is 0.
We know that the ATM straddle price can be approximated by the formula
YATM=12000Sσt. Y_{ATM} = \frac{ 1}{ 2000} S \sigma \sqrt{t}. YATM=20001Sσt.
Since gamma is the second (partial) derivative with respect to the underlying price SS S, the gamma of the straddle is 0.
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