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Quantitative Finance · Glosarium

Apa itu Break-even volatility?

Definition 4.9 Derivatives and Volatility · Bab 4 — Greeks and the Hedging P&L

The break-even volatility of a hedged option is the realised volatility at which, over a period, its gamma P&L exactly pays its theta and financing. The break-even move is the corresponding daily move of the underlying: 12Γ δS2=−Θ δt\tfrac12\Gamma\,\delta S^2=-\Theta\,\delta t.

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