Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Break-even volatility?

Definition 4.9 Derivatives and Volatility · Capítulo 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.

Ler no capítulo →