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Quantitative Finance · Glossaire

Qu'est-ce que « Delta-hedged option return » ?

Definition 1.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapitre 1 — Harvesting the Variance Risk Premium

A delta-hedged option return is the gain of an option position whose delta is hedged in the underlying at regular intervals, relative to its premium; under a model with no volatility risk premium its expectation is close to zero, so its sign and size measure the premium.

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