- Joined
- 6/20/11
- Messages
- 25
- Points
- 11
Hi all,
Someone has told me about a way to compute returns for options (1 month Call option on the SP500) by calculating another 2 months option on the same underlier and then using a formula .. but I don't recall the thing.
The aim is to avoid the undefined ln(0) when using payoffs
Thanks
Someone has told me about a way to compute returns for options (1 month Call option on the SP500) by calculating another 2 months option on the same underlier and then using a formula .. but I don't recall the thing.
The aim is to avoid the undefined ln(0) when using payoffs
Thanks