We show that the option hedging risk of an optimal, continuously rebalanced hedging strategy in an exponential Lévy … model is well approximated by the risk taken from the discrete-time Black-Scholes model whose time step equals half of the … logarithmic stock returns in the Lévy model and option price sensitivities (greeks) in the limiting Black-Scholes model. We …

110 years ago, Einstein published his Theory of Special Relativity. In this thought experiment, we introduce Einstein …'s idea of time dilation to option valuation. We analyse the effect of time dilation on the time decay of an European long …