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Quantitative Finance · Glossaire

Qu'est-ce que « Tail hedge » ?

Definition 7.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapitre 7 — Tail Hedging and Long Volatility

A tail hedge is a position held to pay off in large, rare market falls, such as out-of-the-money puts, put spreads, long variance or volatility futures, bought at a cost in ordinary times in exchange for convexity in a crash.

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