The greeks and hedging
The nine sensitivities, measured first by finite differences then derived analytically, the volatility surface, and the proof that a hedged position's P&L depends only on the volatility gap.
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Outline
- Step 1
- Step 2
- Step 3
- Step 4
- Step 5
- Step 6
- Step 7
- Step 8
- Step 9
- Step 10
- Step 11
- Step 12
- Step 13
- Step 14
- Step 15