Gamma Correction, Delta Hedging P&L & Rebalancing Frequency
3 mins read A simple case study Theoretically speaking in the Black Scholes world the cost of the hedge should be close to
3 mins read A simple case study Theoretically speaking in the Black Scholes world the cost of the hedge should be close to
6 mins read We use a simple example to illustrate the calculation of Shadow Gamma as describe by Taleb in Dynamic Hedging. Gamma