Blog
Comments Off on Gamma Correction, Delta Hedging P&L & Rebalancing Frequency

Gamma Correction, Delta Hedging P&L & Rebalancing Frequency

Gamma correction & Delta hedging P&L results. A simple case study

Theoretically speaking in the Black Scholes world the cost of the hedge should be close to the theoretical value of the option. In our cash accounting P&L we have included the theoretical premium received which is used in determining the initial amount to be borrowed. […]

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 »