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. · Vega is only important for the mark-to-market risk of the option position over it's life. This is important for margining considerations. The ...

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.

22 апр. 2023 г. · Bergomi writes that vega hedge stability is usually the case for barrier options. If I remember correctly Carr's work makes this clearer and is highly ...

18 нояб. 2019 г. · Is there an established way to find which are the most efficient contracts to hedge your gamma and vega for lowest cost, whilst maintaining as much theta as ...

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 ...

24 авг. 2015 г. · I have a problem with vega hedging. Consider the management of an exotic derivative, such as Barrier option. Typically we do the following tasks:

7 мар. 2023 г. · For a flat IV skew (not surface), the gamma neutral portfolio == the vega neutral portfolio. This is because Vega = s^2 * σ * T * gamma, ...

19 апр. 2020 г. · Vega hedging is required to offset movements in implied volatility. On top of that, the vega profile of your hedge instruments should closely ...

How do we hedge option vega practically? If you are a market maker, your primary Vega hedge is to sell Vega to other clients. You do this by being the best ...