Sure. The formula uses Pi, so it is Nyquist and Lucas applies.
The formula assume the safe rate is fixed, so we know we are working around a single Lucas angle. e is known so we know the Lucas angle is 1.5 * ln(Phi).
Hence tanh is the strike price, tanh' is the gain, and 1/2 * tanh'' is the derivative cost, normalized to a unit variance of 1.0. So then one needs to scale.
I think that is right, but check me.
The theory of everything simplifies life a whole bunch.
No comments:
Post a Comment