How is hedging need decreased by a gamma-neutral strategy
How is hedging requirement decreased by a gamma-neutral strategy?
Expert
Because costs can be large and because one wants to reduce exposure to model error it is natural to try to minimize the need to rebalance the portfolio more frequently. Because gamma is a measure of sensitivity of the hedge ratio Δ (delta) to the movement in the underlying, the hedging need can be decreased by a gamma-neutral strategy. It means buying or selling more options, not only the underlying.
Describe difference between the retail or client market and the wholesale or interbank market for foreign exchange?The market for foreign exchange can be distinguished as two-tier market. One tier is the wholesale or interbank market and the ot
Define working capital. What is the main advantage to a corporation by investing some of its funds in working capital?
How many assumptions are made to find a taxi?
What will happen when a bank gives discount interest on a loan?
Explain the term Boundary/final conditions in finite-difference methods.
Illustrates an example of LIBOR Market Model?
Describe the arrangements & workings of the European Monetary System (EMS).EMS was launched in the year of 1979 in order to (I) set up zone of monetary stability in Europe, (ii) coordinate exchange rate policies against non-EMS currencies, a
Illustrate how the bank can employ a position alternatively in Eurodollar futures contracts to hedge the interest rate risk formed by the maturity mismatch it has with the $3,000,000 six-month Eurodollar deposit & rollover Eurocredit position indexed to th
Can I employ real probabilities for pricing derivatives? Answer: Yes you can. But you may require moving away from classical quantitative finance.
Explain the programme of study of numerical integration.
18,76,764
1933041 Asked
3,689
Active Tutors
1433462
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!