Gamma Correction, Delta Hedging P&L & Rebalancing Frequency
3 mins read time A simple case study Theoretically speaking in the Black Scholes […]
Shadow Gamma Calculation
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 We build a simple Excel spreadsheet that allows us to […]
Hedging Vega and Gamma exposure. Lesson Five
6 mins read time For our portfolio model we need an objective function that […]
Hedging higher order Greeks – Hedging a book of short call options
3 mins read time 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 time In earlier posts we have set the foundation for hedging […]