New answers tagged greeks
2
votes
0DTE volatility and greeks
You don't. The problem is that when the time horizon is so small, if the options isn't perfectly ATM, the gamma and vega $\approx0$, and delta $\approx1$. A small shift in the underlying further OTM/...
0
votes
How do we hedge option vega practically?
Just adding my 2 cents. The skill of the role is to collect bid offer on average. Therefore, there will most definitely be times where your positions carry you out and you are forced to lose some or ...
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0
votes
How do we hedge option vega practically?
Without losing money is a difficult one, just read a book that said that you can hedge vega with an at-the-money straddle. If you are the selling side, the only downside is that straddles require more ...
0
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Bumping forward rates in Quantlib for Bartlett SABR greeks
I believe I managed to find a workaround for this issue:
Use parallel shifts of the input rate curve, with the shifts being the Bartlett adjustment factor $\frac{\rho F^\beta}{\nu}\epsilon$ (for ...
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4
votes
Accepted
Delta of Black formula vs numerical
I think I disagree here. FD delta should yield a value that is very close to $exp^{-rT} * N(d1).$
If not, I think you may use a non-conventional implementation of Black-76. Also, you wrote that your ...
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6
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Delta of Black formula vs numerical
Your Delta_fd is forward delta (you're bumping the fwd). Delta is spot delta. Hence the discount factor.
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3
votes
From parameter risk (sensitivities) to market risk (sensitivities)
Formally, you have two ingredients:
a pricing function for your specific instrument, $f$, that depends on some set of model parameters $\mathbf{r}$
a parameterization $\mathbf{F}$ that consistently ...
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