Timeline for Delta-Hedging Exotic Options
Current License: CC BY-SA 3.0
8 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| May 30, 2018 at 21:24 | comment | added | Trajan | @AlexOckenden what do you mean by pricing model? | |
| Oct 5, 2016 at 13:24 | vote | accept | Alex Ockenden | ||
| Oct 4, 2016 at 17:56 | history | tweeted | twitter.com/StackQuant/status/783365063386292224 | ||
| Oct 4, 2016 at 12:45 | answer | added | Quantuple | timeline score: 24 | |
| Oct 4, 2016 at 9:03 | answer | added | M. Jeunesse | timeline score: 3 | |
| Oct 2, 2016 at 22:15 | comment | added | Alex Ockenden | Yeah generally I'm sure you're right, but what is the POINT of hedging exotic options? With vanilla options the point of delta hedging is to profit from volatility not directional price movements. The same does not seem to apply to exotic options. I am just running some Matlab simulations and I see that when delta-hedging a binary option, profit is apparently NOT strongly correlated to realized vol. In fact, I see no discernible relationship between realized vol and profit at all. | |
| Oct 2, 2016 at 15:21 | comment | added | Alex C | I am sure they attempt to hedge then in some manner, but it is much harder to do and I suspect the hedging is less effective, i.e. more idiosyncratic risk is passed through. The general concept is the same. | |
| Oct 2, 2016 at 4:26 | history | asked | Alex Ockenden | CC BY-SA 3.0 |