the short-term implied volatility is the price of Gamma, i.e. th

"In traders jargon, the short-term implied volatility is the price of Gamma, i.e. the price traders are ready to pay now for receiving current realised market volatility, whereas the long volatility is the price of Vega, i.e. the price traders are ready to pay for benefiting from future long-term implied volatility trends. It is true that the markets for Gamma and Vega are connected through partial hedging and, therefore, somewhat correlated, but this correlation is far from being 100%."

Wilmott magazine, pg 74

所有跟帖： 

• gamma01 gamma=vix vega=vxz 人眼对灰度(st vol)变化的感觉比对色调(fa)变化的感觉来得敏锐 人 -marketreflections- ♂ (4918 bytes) () 09/12/2011 postreply 20:56:02

• Planck量子理论认为， 辐射能的发射或吸收是不连续的，而是量子化的。 ... 电磁辐射就其能量高低可分为γ射线区、X 射线区 -marketreflections- ♂ (16169 bytes) () 09/12/2011 postreply 21:10:46

• 人眼的第二特性，指出人眼所能分辨的亮差層次是以對數方式分佈，而非以線性方式分佈。人眼的第二特性，指出人眼所能分辨的亮差层次是以对 -marketreflections- ♂ (1720 bytes) () 09/12/2011 postreply 20:58:01

• γ射线与物质的相互作用机制属于全或无相互作用，不同于α、β射线的多次小相互作用，γ射线穿透物质后强度减小但能力几乎不降低，α、β -marketreflections- ♂ (33701 bytes) () 09/12/2011 postreply 21:04:50

• qed01 在量子力学范围内，可以把带电粒子与电磁场相互作用当作微扰，来处理光的吸收和受激发射问题，但却不能处理光的自发射问题。 -marketreflections- ♂ (378 bytes) () 09/12/2011 postreply 21:22:20

• The greater the uncertainty, the more compelling the simple stor -marketreflections- ♂ (1420 bytes) () 09/13/2011 postreply 08:04:22

• alpha最慢 gamma射线和紫外线速度相当 beta 居中 -marketreflections- ♂ (64 bytes) () 09/12/2011 postreply 21:23:00

• "伽马函数响应阶乘",伽马函数:传统的自然伽马(GR)测井响应理论基本上是针对厚层的, ... 就是整数阶乘的推广，它有一个积分 -marketreflections- ♂ (361 bytes) () 09/12/2011 postreply 21:33:49

• 这个概率密度函数称为Gamma分布,它有一个单峰但却是左右不对称的一种概率分布函数 -marketreflections- ♂ (2981 bytes) () 09/12/2011 postreply 21:37:10

• 牛顿引力实在太弱了，地球这么一个庞然大物产生的牛顿引力甚至还赶不上一小块磁铁。平时，我们在地球上感受到的太阳光(也许还有实的太阳 -marketreflections- ♂ (633 bytes) () 09/12/2011 postreply 22:02:15

• 灰度级取决于每个像素对应的刷新存储单元的位数和显示器本身的性能。如每个象素的颜色用16位二进制数表示，我们就叫它16位图，它可以 -marketreflections- ♂ (1365 bytes) () 09/12/2011 postreply 22:15:09