Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …

allows us to rewrite the hedging portfolio explicitly in terms of the Malliavin derivative of the discounted payoff. We … illustrate this new result with two applications. Firstly, we obtain a closed-form expression for the hedging portfolio of a …

approximation is viable in practice: for options with implied volatility less than 95% and maturity less than three years, which …

of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair … HEDGING AND PATH DEPENDENCY -- VOLATILITY DEPENDENCY -- SUMMARY -- Chapter 6: Money Management -- AD HOC SCHEMES -- THE KELLY …In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in …