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Tagged with cryptocurrency delta-hedging
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Inverted Crypto Options - How to Derive the Greeks and Delta-Hedge?
Most of my question is based off this paper by Lucic and Sepp (2024). An inverted cyptocurrency option that is traded on the Deribit platform. It is a cash-settled option that settles in crypto and is ...
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At what threshold on delta percentage should I hedge my option portfolio?
I am able to identify and build an option portfolio with long/short call/put options across different strikes and expiries such that the gamma is positive and cost is negative. Upon inception I hedge ...
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