easy · Quantitative Finance
In the Black-Scholes PDE, the 'Theta-Gamma tradeoff' for a delta-neutral portfolio implies that a long-gamma trader pays for their convexity through which of the following?
- Higher Interest Rate Sensitivity (Rho)
- Dividend Leakage
- Negative Time Decay (Theta)
- Increased Volatility Sensitivity (Vega)
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