Timeline for Delta hedging frequency, Gamma PnL
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Feb 20, 2017 at 0:10 | comment | added | Nivel Egres | From the perspective of gamma pnl, the only thing that matters is the change in your asset price. Frequency is irrelevant - you can rebalance at different time periods or when delta exceeds a threshold or many other things - it is still an approximation of continuous integral and your expected P&L would be the same (in a perfect RN world). Maybe I don't understand your question - what exactly are you trying to achieve? | |
| Feb 18, 2017 at 6:09 | comment | added | user26616 | Yes, I am a trader too, this is the point. You are not answering here! | |
| Feb 17, 2017 at 19:51 | history | answered | Nivel Egres | CC BY-SA 3.0 |