One of the steps in the derivation of the risk premium for an option is the assumption:
ln(A*e^(B) + C*e^(D)) is approximately equals to A*B + C*D.
I don't see how that is true.
It's late. Maybe I need to go to sleep. Things are no longer making sense. :shrug:
ln(A*e^(B) + C*e^(D)) is approximately equals to A*B + C*D.
I don't see how that is true.
It's late. Maybe I need to go to sleep. Things are no longer making sense. :shrug:
Derivation of the risk premium for an option
