Hedging higher order Greeks – Solver Solution review
3 mins read Hedging Higher order Greeks – Lesson Three We are now ready to solve the Gamma Vega hedging optimization model in
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
2 mins read April was a great months for putting together case studies around market risk. We managed to do three before we
3 mins read For path dependent and forward starting options it is important to assess Vega, the sensitivity of the option’s value to
3 mins read Building Local Volatility Surfaces in Excel – Lesson Five So far in our volatility surface tutorial over the last few