Gamma Scalping
Posted: February 17th, 2005, 11:04 pm
by quantstudent19
Thanks a lot FermionI had a look at my maths undergrad textbook and found it as wellM. Gonnord - "L'essentiel du cours de maths en prepa" 1998 - p.314. But as you already guessed , it's in French
Gamma Scalping
Posted: August 29th, 2009, 8:22 am
by Randomness
Hi Fermion,Apologies for reviving this old thread. Thanks a lot for your comments below and more specifically the one below:Dynamically hedge your net position such that:1. You are delta-neutral.2. You are vega-neutral.3. You have positive gamma.4. You have positive volga.5. You have gamma*volga > (vanna)^2.Question:Could you give me a practical example as to what sort of an option combination / position would enable me to enter into such a posiiton and if so what would be the best ways to dynamically maintain it. I understand and appreciate the concept from a theoritical / mathematical standpioint but a practical example would be much appreciated