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A buy-side perspective on how to decompose the P&L of index options is presented

France generalPoitou charentesUnited statesGatheral jacquierOlivier daviaudDaviaud mukhopadhyayAldous diaconisGuyon henry labordChapman hallCarr wuJpmorgan chase coJp morganBlack scholes gammaGamma covarianceMathematical monthlyVolatility surface