Vega neutral is a method of managing risk in options trading by establishing a hedge against the implied volatility of the underlying asset.

11 июн. 2024 г. · The Vega hedge is a risk management strategy that involves buying or selling options to offset the impact of changes in implied volatility.

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 ... option pricing - Vega hedging with implied volatility smile Hedging, Delta, Gamma, Vega - Quantitative Finance Stack ... Delta-Gamma neutral vs Delta-Vega neutral Hedging vega risk with varswaps Другие результаты с сайта quant.stackexchange.com

We show how reinforcement learning can be used in conjunction with quantile regression to develop a hedging strategy for a trader responsible for ...

Vega neutral is a risk management strategy for options trading that aims to create a portfolio with a total vega of zero.

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 ...

8 июн. 2024 г. · Vega hedging involves taking offsetting positions that help mitigate the impact of changes in implied volatility on an options portfolio. By ...

27 июн. 2024 г. · PORTFOLIO HEDGING. Options with high Vega values can serve as effective hedges against volatility in a trading portfolio. By incorporating ...

27 авг. 2023 г. · In this paper, we propose a practical way to evaluate the Future Hedging Costs of dynamic vega-hedging exotic products, such as autocallable ...

We use deep distributional reinforcement learning (RL) to develop hedging strategies for a trader responsible for derivatives dependent on a particular ...