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Hedge Fund investor letters 2019-Q2

DATE POSTED:July 12, 2019
In Dynamic Hedging, Nassim writes...

"Almost one century ago, a young French mathematician named Gaston Bachelier had the insight (among other surprising intuitions) to write, in his doctoral thesis, see Bachelier (1900), that the expected price tomorrow of a call value was today's. He gave the right answer to what most option beginners fail to understand: that time decay is not expected P/L from an option. If the option is priced at the right volatility (assuming interest rates are 0),...

Theta is NOT the P/L of an option