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Thu Mar 17 02:32:02 +0000 2022

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Nassim Nicholas Taleb @nntaleb

4) Bachelier wrote that time decay is expected to not change. Most people think that Greeks (gamma, theta) accelerate as we get close to expiration, hence expected to drop. Not true. Formalizing here, showing Greeks are martingales. https://t.co/skP5Bkcb5j — PolitiTweet.org

Posted March 17, 2022