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Classic dynamic delta-gamma hedging in Python

Problem is at the tail of this: PnL_final = Pnl + strategy[:,-2] * s[:,-1] + gamma1[:,-2]/gamma2[:,-2]*callprice(s[:,-1], k, T2-ttm[-1], sigma, r)/interest - np.max(s[:,-1]-k,0) It should be a &...
JM_BJ's user avatar
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3 votes

Why are Black-Scholes derived greeks used for risk management when alternatives exist?

I do not agree with the answer by @river_rat. SABR greeks (the so-called Bartlett delta and vega) are used by practitioners in Interest Rates trading from my own experience. In general you want your ...
Hasek's user avatar
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1 vote

Why are Black-Scholes derived greeks used for risk management when alternatives exist?

Pick your poison, what is better? A simple model that is wrong or a complicated model that is also wrong. Add to that computation time on large portfolios and the simplicity of a closed form Black-...
river_rat's user avatar
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