Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Gamma scalping » ?

Definition 25.1 Derivatives and Volatility · Chapitre 25 — Trading Volatility

Gamma scalping is holding a long option position and re-hedging its delta at intervals, so that the hedge sells after rises and buys after falls; its P&L is the sum over the intervals of the cash gamma times the difference between the squared realised return and the implied variance of the interval.

Lire dans le chapitre →