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2 votes

Purpose of Vega Hedging

Doing away with jargon for a bit, it is wise to hedge every risk factor present in your portfolio. Implied vol is one of them, just like the spot.
Arshdeep's user avatar
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0 votes

Purpose of Vega Hedging

It depends on the strategy. The position seller suffers a lot from vega. He can try to balance the portfolio but it unbalances the delta gamma hedge. It also depends on the time until maturity. If you ...
Gilberto's user avatar
0 votes

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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0 votes

Difference between replicating portfolio and option price

I did not read the paper, but looking at your description and from my understanding, it seems like a straightforward replication of delta hedging the option. For example, if we wish to delta-hedge a ...
KaiSqDist's user avatar
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