22 авг. 2016 г. · If you want to neutralise your gamma, sure buy/sell some short dated options, vega maybe slightly longer dated options. But you will find as the ...

18 нояб. 2019 г. · @roz You short options with a low gamma/theta ratio, and buy options with high gamma/theta ratios, leaving you gamma neutral but theta positive.

23 февр. 2020 г. · To understand autocallables you need to understand barrier options. So as a start if I were you I would study the pricing and hedging of barrier options.

30 мая 2024 г. · The vega is the integral of the gamma profits over the duration of the option at one volatility minus the same integral at a different volatility.

21 мар. 2020 г. · How to gamma hedge and vega hedge an autocallable product? 1 · Can a delta hedge be negative for all values at one time, and positive for all ...

7 мар. 2023 г. · This is because Vega = s^2 * σ * T * gamma, so when the net gamma exposure is 0, the net vega exposure is 0, and so is the net theta exposure.

25 февр. 2022 г. · Your primary Vega hedge is to sell Vega to other clients. You do this by being the best offered side price in the market, so you will attract the next piece of ...

7 нояб. 2021 г. · It depends on the strategy. The position seller suffers a lot from vega. He can try to balance the portfolio but it unbalances the delta gamma hedge.

23 янв. 2022 г. · Method 1-> I remark the vol of the option to RV (realize the pnl as vega PnL today). Then, given that I am heding the option using the correct ...

16 февр. 2024 г. · In the Black-Scholes model Gamma and theta do not need to be hedged because the BS PDE says that they balance each other.