सभी किताबें

पेशेवर

ऐप्स परिचय Coach लॉग इन पढ़ना शुरू करें

Quantitative Finance · शब्दावली

Gamma scalping क्या है?

Definition 25.1 Derivatives and Volatility · अध्याय 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.

अध्याय में पढ़ें →