Blog
Comments Off on Five steps to hedging Vega and Gamma exposure in Excel

Five steps to hedging Vega and Gamma exposure in Excel

Building an illustrative Vega and Gamma hedging model in Excel.

We build a simple Excel spreadsheet that allows us to hedge Gamma and Vega exposure for a single short position in a call option contract. Gamma and Vega hedges are created by buying cheaper out of money options with shorter or similar maturities.

The five lessons […]

Comments are closed.

Random Testimonial

  • ~ Student Testimonials

    "Concise, to the point. Very informative and very practical.”

     

    “I loved the course!! Very interesting. Good lectures.”

     

    “Excellent, very informative and inspiring.”

     

    “In total awe of the way he taught…”

     

    “Well versed with the subject and able to transmit the subject properly.”

     

    “Excellent. If the time could be extended this would be an even better learning experience.”

     

    Excellent teaching skills. The instructor made every effort to explain most complicated finance concepts in simplest possible ways."

  • Read more testimonials »