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Quantitative Finance · Begrippenlijst

Wat is Gamma scalping?

Definition 25.1 Derivatives and Volatility · Hoofdstuk 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.

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