Understanding Option Greeks – Introducing Gamma
3 mins read time Understanding Option Greeks – Introducing Gamma Gamma is the second […]
Understanding Alpha or Gamma Rent
2 mins read time N. N. Taleb explains Alpha or the Gamma Rent, in […]
Vega, Volga and Vanna. The option volatility Greeks.
2 mins read time What is Vega? Vega is the change in the value […]
Gamma Correction, Delta Hedging P&L & Rebalancing Frequency
3 mins read time Gamma correction & Delta hedging P&L results. A simple case […]
Calculating Shadow Gamma – Taleb’s approach for the second order option Greek.
6 mins read time We use a simple example to illustrate the calculation of […]
Five steps to hedging Vega and Gamma exposure in EXCEL
2 mins read time Building an illustrative Vega and Gamma hedging model in Excel […]