g******8
发帖数: 542 | 1 What is your maximum loss if you sell a put option and do delta hedging?
Thanks |
s******o
发帖数: 69 | 2 the strike price minus option price, isnt it? when the stock price drawn
down to zero |
l*******1
发帖数: 113 | 3 Infinity.
overall gain = premium + hedging error
hedging error = -1/2*gamma*(realized variance - implied variance)
if realized variance is infinite, then hedging error is infinity...
lose insanely on the gamma. |
p*****y
发帖数: 529 | 4 Assuming continuous, frictionless delta hedging and you hold both positions
to maturity, then your profit/loss = the option price - theo price (there's
no max loss).
Otherwise, you have to make clear your assumption on transaction cost and
frequency of delta hedging to get an answer.
【在 g******8 的大作中提到】
: What is your maximum loss if you sell a put option and do delta hedging?
: Thanks
|
c**m
发帖数: 34 | 5 Max loss is unlimited in case the stock price goes to infinity immediately.
【在 g******8 的大作中提到】
: What is your maximum loss if you sell a put option and do delta hedging?
: Thanks
|
s*******0
发帖数: 3461 | 6 re
put 损失有限制 call就没有啦 theoretical
【在 s******o 的大作中提到】
: the strike price minus option price, isnt it? when the stock price drawn
: down to zero
|
r**a
发帖数: 536 | 7 同意这个。
另外，可以看一下grozny.maths.univ-evry.fr/pages_perso/crepey/papers/I-D-1.
pdf。
【在 l*******1 的大作中提到】
: Infinity.
: overall gain = premium + hedging error
: hedging error = -1/2*gamma*(realized variance - implied variance)
: if realized variance is infinite, then hedging error is infinity...
: lose insanely on the gamma.
|
w******i
发帖数: 503 | 8 assuming underlying is a stock.
if you do not hedge and your max loss will be limited.
【在 l*******1 的大作中提到】
: Infinity.
: overall gain = premium + hedging error
: hedging error = -1/2*gamma*(realized variance - implied variance)
: if realized variance is infinite, then hedging error is infinity...
: lose insanely on the gamma.
|
