network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 8 months |
| seen | Dec 20 '12 at 12:34 | |
| stats | profile views | 4 |
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Nov 23 |
asked | Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly? |
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Sep 21 |
comment |
How would you hedge this structure? Sorry if I wasn't clear. It is basically a conditional option on realized volatility. And the condition is that the drawdown from the max stock price over the year at the end of the year is greater than 10%. Note that the condition is on stock price and the payoff is on the realized vol so its tricky. Yes it is on some index and not a single name stock. Can you explain point b)? Yea I am making a huge assumption about the volatility dynamics |
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Sep 20 |
awarded | Student |
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Sep 20 |
asked | How would you hedge this structure? |
