by ·Comments Off on Understanding Alpha or Gamma Rent

Alpha, Fair Alpha or Gamma Rent.

N. N. Taleb explains Alpha or the Gamma Rent, in his book Dynamic Hedging, as ‘Theta per Gamma ratio’. At first the concept is quite difficult to grasp but when we reduce the risk free rate and the dividend yield rate to zero, the equation starts to become more edible.

Equation

In […]

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by ·Comments Off on Exotic derivatives & Options pricing – Pricing Chooser and Compound Options – Weekend Challenge

Exotic Derivatives & Option pricing weekend challenge This week exotic option pricing challenge focuses on chooser and compound option pricing using Monte Carlo Simulation in Excel. Hints to the solution will be posted separately within the next 12 hours. Let’s see if you can crack this first before I go ahead and post the solved solution. […]

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