14 мар. 2024 г. · In the discrete-time gamma-hedging strategy, a trader seeks to replicate a deriva- tive product by trading in n hedging instruments, such as the ...

When delta-gamma hedging, the deal initiator is always the bank and the type is always option. An example of a delta-gamma hedge is presented in Table 4.10.

Download Citation | Gamma Hedging | Gamma is defined as the second derivative of a derivative product with respect to the underlying price.

We focus on how trades in the options can be used to manage gamma and vega. The option trades are subject to transaction costs. We consider three different ...

27 нояб. 2022 г. · Our contribution will be to apply rough path theory to classical replication arguments to obtain results giving almost-sure (indeed sure) ...

Hedging with a linear model corresponds to taking an offsetting position using the beta (regression coefficient). Page 4. Regression of CL2 returns on CL1.

22 окт. 2024 г. · The paper describes a framework for delta and gamma hedging an interest rate portfolio using a multifactor form of the Heath et al. (1992) model.

This paper explores the role of gamma hedging strategies in situations where there are either jumps or stochastic volatility, and it is costly to make options ...

5 апр. 2019 г. · A market-maker, who delta-hedges, sells a three-month at-the-money European call option on a non dividend-paying stock. You are given: (i) The ...

It is shown that the upper bound constraint on the gamma implies that the optimal strategy consists in hedging a conveniently face-lifted payoff function.