Dynamic Hedging (Part 2)
9.7 هزار بار بازدید -
6 سال پیش
-
The second part of my
The second part of my tutorial on dynamic hedging.
These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0
Check out our website http://www.onfinance.org/
Follow Patrick on twitter here: Twitter: PatrickEBoyle
What is Dynamic Hedging?
A hedging technique which seeks to limit an investment's exposure to delta and gamma by adjusting the hedge as the underlying security changes (hence, "dynamic"). The strategy is frequently used by financial professionals working with derivatives. Derivatives dealers often find that they hold large numbers of short options positions on an underlier which they want to offset by purchasing long options, but that they cannot find long options because these types of options are not as available. To reduce exposure the trader will create a delta hedge of a non-linear position, such as an exotic option, with a linear position, such as a spot trade.
The deltas of the linear and non-linear positions offset. As the value of the underlying changes the trader will have to take out new linear positions to offset the changing non-linear delta.
These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0
Check out our website http://www.onfinance.org/
Follow Patrick on twitter here: Twitter: PatrickEBoyle
What is Dynamic Hedging?
A hedging technique which seeks to limit an investment's exposure to delta and gamma by adjusting the hedge as the underlying security changes (hence, "dynamic"). The strategy is frequently used by financial professionals working with derivatives. Derivatives dealers often find that they hold large numbers of short options positions on an underlier which they want to offset by purchasing long options, but that they cannot find long options because these types of options are not as available. To reduce exposure the trader will create a delta hedge of a non-linear position, such as an exotic option, with a linear position, such as a spot trade.
The deltas of the linear and non-linear positions offset. As the value of the underlying changes the trader will have to take out new linear positions to offset the changing non-linear delta.
6 سال پیش
در تاریخ 1397/12/16 منتشر شده
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