Hi Filthy...I was just reading a little bit of NNT's "Dynamic Hedging" and he proposes something like
Omega = timetoexpiry * rho2(american)/rho2(european)
where his rho2 is the option price sensitivity to, say, dividends or foreign interest rate (depending on the underlying), rather than more standard rho...
I can't find the original Garman Risk paper that coined the lovely fugit...(I was under the impression that it uses a binomial approach, in any event)...can I ask...is your rho the standard one, or "rho2"?
Do you have much use for this measure in practice?
Do you have much regard for approaches that use real world drift to get a real world time (sometimes seen with barriers in a real options setting)?
thanks in advance for sharing your opinion