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seen Dec 20 '12 at 12:34

Jul
31
awarded  Popular Question
Nov
23
asked Why do ATM call options have a delta of slightly bigger than 0.5 and not 0.5 exactly?
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
Sep
20
awarded  Student
Sep
20
asked How would you hedge this structure?