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Posted June 30, 2014 in Blog by Finance Training Course

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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