by sirinath <sirinath1978m@[EMAIL PROTECTED]
>
Apr 21, 2008 at 11:11 PM
On 22 Apr, 11:04, sirinath <sirinath19...@[EMAIL PROTECTED]
> wrote:
> The some pay off structure would be such that a discratised model
> would make more money practically than the theoretical model
> continuous time model. If the discratising mechanism is optimized it
> would outperform the theoretical model in the presence of transaction
> cost.
>
> =A9 2008, Suminda Sirinath Salpitikorala Dharmasena
This is more true in high Gamma protfolios.
