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Concurrent Session 3A:The Market Impact of Dynamic Hedging on Hedging Program Performance
products impact • In the US, S&P realized vol at ~17% vs. 19% for 1- year options since 1983, 22% for ... stock falls (in order to offset rising option cost 17 From market impact to amplifying delta hedging ...- Authors: Larry Zhao, Oksana Cherniavsky, Aymeric Kalife
- Date: Feb 2018
- Competency: External Forces & Industry Knowledge>External forces and business performance; Professional Values>Ethical standards; Strategic Insight and Integration>Big picture view; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset allocation; Finance & Investments>Derivatives; Finance & Investments>Investments; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments