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- W2417811485 abstract "Now that we have a Delta hedging model for calls and puts, let’s try and use it to answer the following questions: a.What is the impact of rebalancing frequency on hedging profitability?b.What is the impact of a rise in volatility on profitability? How does implied volatility help in interpreting this change?c.What is the impact of a change in risk-free rate on profitability?These are all questions that should occur naturally to you as you spend more time with the Delta hedging model. They are also essential to building a deeper understanding of the concept of implied volatility, Rho and Theta. The first two are covered here, the third in Chapter 13." @default.
- W2417811485 created "2016-06-24" @default.
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- W2417811485 date "2015-01-01" @default.
- W2417811485 modified "2023-09-23" @default.
- W2417811485 title "Rebalancing, Implied Vol and Rho" @default.
- W2417811485 doi "https://doi.org/10.1057/9781137371676_13" @default.
- W2417811485 hasPublicationYear "2015" @default.
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