Gamma Correction, Delta Hedging P&L & Rebalancing Frequency
3 mins read
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
We use a simple example to illustrate the calculation of […]
Five steps to hedging Vega and Gamma exposure in EXCEL
2 mins read
Building an illustrative Vega and Gamma hedging model in Excel […]
Hedging Vega and Gamma exposure. Lesson Five
6 mins read
For our portfolio model we need an objective function that […]
Hedging higher order Greeks – Hedging a book of short call options
3 mins read
Lesson Four – Hedging higher order Greeks for a book […]
Hedging Gamma & Vega – The higher order Greeks hedge optimization Excel spreadsheet – Part I
3 mins read
In earlier posts we have set the foundation for hedging […]