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- W2985047659 abstract "In this paper we show how to compute in real time the Vega hedge of an Autocallable in the local volatility model given the tradeable European options in the market. We also give some intuition about the Autocall risks, then show how to use the Vega map to analyze the second order risks (Vanna/Vomma) and decide what pricing model the trader would better use." @default.
- W2985047659 created "2019-11-22" @default.
- W2985047659 creator A5005515873 @default.
- W2985047659 date "2019-01-01" @default.
- W2985047659 modified "2023-09-25" @default.
- W2985047659 title "Understanding Autocalls: Real Time Vega map" @default.
- W2985047659 doi "https://doi.org/10.2139/ssrn.3387810" @default.
- W2985047659 hasPublicationYear "2019" @default.
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