2024年2月17日 · If you want a literally example; path dependent options can be used to hedge gamma, e.g. barrier options. Or you can setup a gamma-neutral spread such that the multiple …

2016年8月23日 · Now let say the the delta of the total product is 60%, Gamma is 1,5% and Vega is 1,5. Now If I SHORT this "product", then I can delta-hedge the portfolio by going LONG in …

This argument is a bit simplistic as it ignores financing cost. That is what I would call delta-hedging the position. Gamma trading usually involves a more proactive view that the theta is …

2021年12月22日 · In this case, according to your chosen `reality' (this is 'marking to model' as opposed to 'marking to market') the change in option value is $$ df = \theta dt + \Delta dS + …

2022年6月15日 · That is the basic idea: that option hedging could worsen market swings in both directions, if all the market makers together are short a large amount of gamma (i.e. of options, …

2020年2月23日 · Gamma: Has sign changes around barriers and will explode around them. Will make hedging very difficult, if not impossible depending on moneyness. Of course, you would …

2019年11月18日 · M. Arslan, G. Eid, J. El Khoury and J. Roth, "The Gamma-Vanna-Volga Cost Framework for Constructing Implied Volatility Curves", Deutsche Bank Working Paper This is …

2024年4月21日 · By the way, when delta hedging the delta of the portfolio is constant equal to 0 and since gamma is the derivative of delta, isn't gamma forced to be 0 too as the derivative of …

Are there any references on this topic of "gamma hedging"? 2) Thanks to Quantuple's pointer to Chapter 1 of Lorenzo Bergomi's book Stochastic Volatility Modeling, it is clear now that the …

2019年8月28日 · $\Gamma = 10$ $\delta S_{Break-Even} = 1$ Note that we are dealing with a Delta-hedged portfolio here, so the starting value of Delta is $0$, i.e. $\Delta = 0$. However, …