Search results with tag "Dynamic hedging"
1. Dynamic Hedging - Nassim Nicholas Taleb
www.fooledbyrandomness.comN N Taleb 1. Dynamic Hedging Summary: This chapter introduces the theoretical framework for the analysis of the execution of dynamic hedging. A discussion of the issues related to the application of financial theory to the microstructure of
Lectures on Corporate Finance - untag-smd.ac.id
untag-smd.ac.idabilities, dynamic hedging, dividends, capital structure decisions, and risk and incentive management. The main thing to note about this book compared to more standard texts in corporate finance is the level of abstraction. We are arguing in an abstract manner to make the unifying themes, represented by the axioms, clear. But
Managing Smile Risk
web.math.ku.dkKey words. smiles, skew, dynamic hedging, stochastic vols, volga, vanna 1 Introduction European options are often priced and hedged using Black’s model, or, equivalently, the Black-Scholes model. In Black’s model there is a one-to-one relation between the price of a European option and the volatility parameter σ B. Consequently, option ...