delta-hedging
Delta-hedging Vega Risk?
... the delta-hedging of a European put option on the DAX index with maturity T = ...implied delta or the local delta is used for the ...local delta is larger than the implied ...absolute ...
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Pathwise no-arbitrage in a class of Delta hedging strategies
... for Delta hedging exotic options, based on F¨ollmer’s pathwise Itˆo ...of Delta hedging strategies in this pathwise setting is established via existence results for recursive schemes of ...
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Which Free Lunch Would You Like Today, Sir?: Delta Hedging, Volatility Arbitrage and Optimal Portfolios
... There are many thousands of papers on forecasting volatility using a host of increasingly sophisticated, even Nobel-Prize-winning, statistical tech- niques. A possible goal of these is, presumably, to help one exploit ...
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The real P&L in Black-Scholes and Dupire Delta hedging
... market continuously, and any profit(loss) generated by the futures trading is either lent(borrowed) in the money market, with loans being paid back at T. Here we have the advantage over Carr&Madan 7 ’s fixed implied ...
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Is Speculation driving Raw Material Prices to Unjustified Levels?
... When assessed only with respect to the functioning of (single) raw ma- terial markets, then the presence of puts and op- tions and the corresponding delta hedging can have truly [r] ...
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On Pricing and Hedging Basket Credit Derivatives with Dependent Structure
... for hedging basket CDS is delta hedging movements in the single CDS i with respect to shifting in the correlation ρ, while other parameters remain ...The hedging position in CDS i is equal ...
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Informed Trading and Option Spreads
... Our work is related to the research on the microstucture of the options market. Jameson and Wilhelm (1992) examine the effects of an option's gamma and vega on option spreads using a sample of the most active option ...
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Mathematical Models for Stock Pinning. Near Option Expiration Dates
... The model for stock pinning near option expiration dates introduced in Avel- laneda and Lipkin (2003) was generalized to the case of non-linear, power-law, price impact functions. The price trajectories of stocks are ...
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Foreign exchange volatility is priced in equities
... Equation (7) implies that if foreign exchange level exposure is priced and its conditional variance is persistent (predictable), then that conditional variance will predict excess returns on any asset, including excess ...
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Applying the Barycentric Jacobi Spectral Method to Price Options with Transaction Costs in a Fractional Black Scholes Framework
... Recently, Wang [6] obtained a European call option pricing formula using a mean self-financing delta hedging argument in a discrete time setting and then showed how scaling and long-rang[r] ...
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Dynamic hedging of portfolio credit derivatives
... used hedging approaches are ...of hedging strategies. In particular, delta hedging of spread risk is loosely justified using a Black–Scholes analogy which does not necessarily hold, and the ...
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Pricing and hedging of FX plain vanilla options
... pure Delta hedging strategy, with the Delta calculated as a BS Delta, is able to replicate the payoff of a plain vanilla FX call option ...By delta hedging each option contract ...
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Sedimentary facies characteristics and oil/gas accumulation research of Fuyu Formation in Zhaoyuan area
... in delta sedimentary system, including delta plain and delta front ...from delta plain to delta front deposition above FI, showing the internal channel development gradually decreased ...
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Optimization of Hedging Rules for Hydropower Reservoir Operation
... performance. Hedging rule for reservoir operation is inspired from hedging application in nancial ...Thus, hedging provides insurance for high-value water uses wherever reservoirs have low rell ...
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Hedging with Volatility
... Commodities are one of the assets used as equity hedges. The attractiveness of commodities to investors is that it allows them to hold a physical commodity that has inherent value, which holds its value when equities ...
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Semi Annual Report Delta Lloyd Asset Management N.V. Amsterdam
... The original company was established on 28 December 1938. On 24 October 2001 the company’s name was changed and the articles of association were amended and the current activities were added. The company’s activities ...
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Semi Annual Report Delta Lloyd Asset Management N.V. Amsterdam
... 1-2 Delta Lloyd Institutioneel Pensioenstabilisatie Fonds 3-4 Delta Lloyd Institutioneel Pensioenstabilisatie Fonds 5-7 Delta Lloyd Institutioneel Pensioenstabilisatie Fonds 8-10 Delta Lloyd ...
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Commodity Futures Hedging, Risk Aversion and the Hedging Horizon
... long hedging horizons the speculative component dominates, with the hedger taking larger positions to benefit further from the expected bias in the return and the lower relative volatility, driven by ...
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Active Hedging Greeks of an Options Portfolio integrating churning and minimization of cost of hedging using Quadratic & Linear Programing
... There are two things which haven’t been discussed in the above mentioned references. Firstly a static view of portfolio has been considered and secondly transaction costs have been ignored. The value of Greeks changes ...
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Hedging under square loss
... Kahl (1983) does not specifically criticize the minimum-variance framework but contains a useful idea for improving it. She mentions in passing that risk may be measured by “forecast variance, in particular, the mean ...
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