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Quantitative Finance · Glossaire

Qu'est-ce que « Convertible delta hedge » ?

Definition 8.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapitre 8 — Convertible Arbitrage

A convertible delta hedge is a short position in the issuer’s shares equal to the convertible’s delta, rebalanced as the delta changes, so that the position’s value does not move with small share-price changes and its P&L comes from gamma, carry, credit and the bond’s cheapness.

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