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I am specifically enthusiastic about how the "cross-effects"* between delta and gamma are managed and would love to see an easy numerical instance if that's attainable. Thanks beforehand!
At the end of the working day, the EV/Avg(PNL) boils right down to iv vs rv of stock. If those two are equivalent, then the EV/PNL would be the identical for each traders regardless of hedging frequency. The only real change would be the variance of their PNL as explained over.
Two traders have purchased a one hundred strike ATM straddle (long gamma) that expires in per week on inventory XYZ. The inventory value is a hundred. They are really both of those at first delta neutral. In the course of expiry, Trader A delta-hedges every moment, and trader B hedges every finish of day at marketplace close.
Now that's an important selection (that will get reported, etc.) but that does not provide you with a great deal of data on what created that pnl. The next stage is to maneuver each variable which could influence your pnl to evaluate the contribution that a adjust During this variable has on the whole pnl.
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What's the relationship concerning default probabilities calculated utilizing the credit score ranking and the cost of a CDS? 5
Notice: I notice in case you hedge discretely instead of continuously there'll be a hedging mistake, but make sure you dismiss this error for the objective of this problem.
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So how does delta-hedging frequency just affect the smoothness and variance of PnL if we are able to clearly see it affects PnL by itself in this instance?
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