Hedging Vega and Gamma exposure. Lesson Five
6 mins read For our portfolio model we need an objective function that allows us to minimize the cumulative Greek gap across maturity
6 mins read For our portfolio model we need an objective function that allows us to minimize the cumulative Greek gap across maturity
3 mins read Lesson Four – Hedging higher order Greeks for a book of short call options We are now ready to move
3 mins read Hedging Higher order Greeks – Lesson Three We are now ready to solve the Gamma Vega hedging optimization model in
5 mins read Option Greeks – Building the Solver model for hedging Greeks Our first attempt to hedge higher order Greeks is a
3 mins read Since a spot, forward or future position is linear in its pay off it has no second order derivative. Options
3 mins read For path dependent and forward starting options it is important to assess Vega, the sensitivity of the option’s value to