I would appreciate it if anyone can explain this concept, I looked at CiD - April 2002 question 5 and could not follow how the graphs were constructed showing the convergence of the Option 3 months and 2 weeks to expiry respectively to the graph at expiry. The examiner’s report seems to be just explaining what they already put down.
Also see CiD - A2003, qust 4. They applied the same technique to P/L diagrams and to the graph of Gamma.
Last edited by a moderator: Dec 25, 2012
