Hedging Ratios
To find the hedging ratio, let's say to find gamma neutral or vega neutrals portfolios, is linear algebra the optimal solution to find these ratios or do you guys advise something else?
To find the hedging ratio, let's say to find gamma neutral or vega neutrals portfolios, is linear algebra the optimal solution to find these ratios or do you guys advise something else?
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Hi mswoonc, check out these resources:
If we're lucky, maybe I can guilt some users to help you out: nick410433 SLIM ajsotillolairet
Fingers crossed that one of those helps you.
this question does not make sense
Well without the use of matrices the analysis for changes in the price of nonlinear portfolios that have risk factors becomes extremely complex. For example, it is easy to use matrices to solve a set of simultaneous equations in many variables, such as the linear equations that arise when you need to hedge an options portfolio against changes in its risk factors. Do you believe this is the most optimal method?
it really depends...if you can hedge options with options (different strikes and expiries...but still options)...or are you hedging rates options with underlying swaps and bonds? (in which case, you are going to be actively trading the delta hedge)
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