I am currently trying to understand the in's and out's of options and more specifically hedging. I came across a document that was talking about Delta Hedging which is just making sure the delta of your overall position will be 0. But how do you hedge Omega(Time)?


closed as not a real question by Tal Fishman, Dimitris, Brian B, vonjd, Karol J. Piczak Oct 8 '11 at 23:53

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  • $\begingroup$ Could you please give the reference? $\endgroup$ – vonjd Sep 25 '11 at 18:40
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    $\begingroup$ The Omega Part of Delta-Omega Hedging was defined here. docs.google.com/… $\endgroup$ – ChromoX Sep 25 '11 at 18:48
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    $\begingroup$ Is Delta-Omega Hedging another way of saying Delta Neutral, while comparing multiple different delta neutral strategies based upon their Omega ratio? $\endgroup$ – ChromoX Sep 25 '11 at 18:49
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    $\begingroup$ Hi ChromoX, welcome to quant.SE. Please consider registering to help the site track the progress of your question. Omega is a performance measure, intended as a more sophisticated replacement for the Sharpe ratio. I have never heard of "delta-omega hedging" or hedging "omega(time)". Do you have sources for these terms? $\endgroup$ – Tal Fishman Sep 25 '11 at 19:37
  • $\begingroup$ I'm voting to close as "not a real question" due to the concerns above. $\endgroup$ – Tal Fishman Sep 26 '11 at 18:53