Option pricing is typically conducted under the risk-neutral (Q) measure, whereas the drift of the underlying asset in the real world is specified by the physical (P) measure.
This paper only impacts market makers risk management for margin call. It shows that stock drift creates dynamic margin pressures, forcing market makers to adjust their pricing by a 'Rho+/- X' factor to cover funding costs. For anyone else, especially option traders, it is ignorable information noise.
This paper only impacts market makers risk management for margin call. It shows that stock drift creates dynamic margin pressures, forcing market makers to adjust their pricing by a 'Rho+/- X' factor to cover funding costs. For anyone else, especially option traders, it is ignorable information noise.
Schrödinger equation is useless to most people, valuable for some
Same here
LOL on the analogy used.