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Delta hedging bitcoin options with a smile
Quantitative Finance, 2023Carol Alexander, Arben Imeraj
exaly
Volatility Smile and Delta Hedging
2014The thesis describes and applies two parametric option pricing models which partially ease the well-known discrepancy between real world and Black-Scholes model. Stochastic volatility and jumps encompassed by Heston and SVJ models explain implied volatility smile and its heterogeneous term-structure.
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Relationship between deep hedging and delta hedging: leveraging a statistical arbitrage strategy
SSRN Electronic Journal, 2023Hiroaki Horikawa, Kei Nakagawa
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Do we understand delta hedging? [PDF]
, 2004 We show that the delta-hedged portfolio is not actually risk-free even for brownian underlying due to history dependence in the ammount of hold portfolio. We find this ammount explicitly, as a function of underlying price evolution and option price.
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Delta hedged gains in stock options
The dissertation examines whether volatility risk is priced in single-stock options by analyzing the returns of delta-hedged portfolios. In a world without a volatility premium, a daily delta-hedged option should earn zero average returns; negative delta-hedged gains (DHG) indicate a negative volatility risk premium. Using U.S. equity options from 2011–openaire +1 more source
Delta, gamma and bucket hedging of interest rate derivatives
Applied Mathematical Finance, 1994Robert A. Jarrow
exaly
On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case
SIAM Journal on Financial Mathematics, 2011Magnus Wiktorsson
exaly