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Results tagged with options
Search options not deleted
user 17835
A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.
1
vote
Delta re-hedging with options
One is that the underlying may not be accessible, while you can buy/sell options on exchange or OTC. The other (more important) reason is your position on other greeks (gamma, vega, etc). … With appropriate options you can adjust both your delta and other greeks. …
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2
votes
2
answers
226
views
For equity options, why sometimes ATM vol of shorter expiration is higher than that of longe...
For index options, it's probably rare. But for single name options, I've seen a bunch of examples on Bloomberg. Does this relationship admit some weak form of arbitrage? …
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1
vote
Interpertation of delta hedge error in Black Scholes
Based on this article, I think you can call it the PV of cost of carry minus gamma P&L, i.e. you lose money on gamma because of the positive hedging error.
it just help me realize my hedge error i …
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1
vote
Question on implied vol (surface) and strikes
In this case, we'd be happy to buy high/low strike options if vol is flat, effectively ATM/OTM option prices are bid up, therefore the implied vol. …
- 712
-1
votes
What the implied distribution really is?
I'm not a probabilist but I tend to think real-world distribution in financial world doesn't exist (or at least is not a proper term). None of the financial events are really repeatable or IID.
And t …
- 712
3
votes
Derivation of the formulas for the values of European asset-or-nothing and cash-or-nothing o...
The value of an cash-or-nothing option is just the discounted expected payoff of the option. So the value of such a call should be $e^{-r (T - t)} N \mathbb{P} \left\{ S_T > K \right\}$, where $\mathb …
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