by sirinath <sirinath1978m@[EMAIL PROTECTED]
>
Apr 21, 2008 at 11:22 PM
On 22 Apr, 11:11, sirinath <sirinath19...@[EMAIL PROTECTED]
> wrote:
> 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.
This follows the discussion on discreate time models in:
http://sirinath.blogspot.com/2008/04/discratising-continuous-time-finance.ht=
ml
This is more true in high Gamma (convex) ****tfolios and there is a
larger impact than the continuous time model in -ve Gamma (concave)
****tfolios.
Suminda Sirinath Salpitikorala Dharmasena
