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- W2476076145 abstract "This chapter illustrates the different possibilities of implementation of dynamic trading strategy. The preliminary considerations are hedging rule and revaluation rule. Next, the chapter presents a general framework to assess the impact of a dynamic trading strategy. After that, the chapter analyzes the hedging according to BS formula calculated with constant implied volatility. The extension of previous case is hedging with an updating implied volatility. Then, another instrument, Vega, is introduced to hedging approach. Further, the performance of four tools: Delta, Vega, Vanna and Volga are examined. This method is known as Vanna–Volga hedging. The volatility smile is explained next with the help of various diagrams. Finally, scenario hedging and its relationship with Vanna–Volga hedging are examined with the help of various functions." @default.
- W2476076145 created "2016-08-23" @default.
- W2476076145 creator A5045484496 @default.
- W2476076145 date "2012-01-02" @default.
- W2476076145 modified "2023-09-26" @default.
- W2476076145 title "Dynamic Hedging and Volatility Trading" @default.
- W2476076145 doi "https://doi.org/10.1002/9781119207085.ch3" @default.
- W2476076145 hasPublicationYear "2012" @default.
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