I found a significant error in the paper composed by my professor's earlier student. To whom should really I report my findings?
To produce The 2 solutions equivalent you'll want to imagine investing/borrowing $PnL_1$ at amount $r$ to make sure that it stays in the program until eventually $t_2,.$ At that time your
So So how exactly does delta-hedging frequency just have an effect on the smoothness and variance of PnL if we can Evidently see it influences PnL alone in this instance?
He intentado buscar las “evidencias” que respaldan estas presuposiciones, pero solo he encontrado una explicación a cada una de ellas.
How Is that this real even though? Delta-hedging frequency features a direct impact on your PnL, and not just the smoothness of it.
$begingroup$ Unsure it is a valid concern! Gamma p/l is by definition the p/l as a consequence of realized volatility being distinctive from implied.
$begingroup$ Under the assumptions of GBM - namely that periodic returns are impartial of one another - then hedging frequency should have 0 impact on the expected P/L as time passes.
I'm specifically considering how the "cross-effects"* between delta and gamma are taken care of and would like to see an easy numerical instance if which is possible. Many thanks in advance!
Tu objetivo debe ser algo que hagas para ti y que dependa de ti mismo no de los demás. Por ejemplo, es muy habitual que el objetivo de los jóvenes sea acabar una carrera universitaria pero ese no es un objetivo de ellos sino de sus padres.
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El anclaje es una técnica que se utiliza para asociar un estado emocional específico con un estímulo externo. Por ejemplo, un terapeuta puede pedirle a un cliente que recuerde un momento en el que se sintió especialmente confiado y luego tocarle el hombro en ese momento.
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Por observación ocular. Observando los ojos de la persona que tenemos delante y comprendiendo los señales que nos emiten sus ojos, podemos averiguar cuál es el sistema representativo que se está utilizando en ese momento.
$begingroup$ The knowledge I have discovered about delta hedging frequency and (gamma) PnL on This great site and numerous Other folks all reiterate the identical factor: which the frequency at which you delta-hedge only has an impact on the smoothness and variance of your PnL.