Dynamic hedging: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Administrator (CSV import) |
imported>Doug Williamson m (Spacing) |
||
| Line 1: | Line 1: | ||
''Options trading and hedging.'' | ''Options trading and hedging.'' | ||
Dynamic hedging recognises that the hedge ratio depends - among other things - on the current market price of the underlying asset. | Dynamic hedging recognises that the hedge ratio depends - among other things - on the current market price of the underlying asset. | ||
| Line 7: | Line 8: | ||
* [[Hedge ratio]] | * [[Hedge ratio]] | ||
* [[Market price]] | * [[Market price]] | ||
Revision as of 21:21, 11 August 2013
Options trading and hedging.
Dynamic hedging recognises that the hedge ratio depends - among other things - on the current market price of the underlying asset.
So that as the underlying market price changes, the amount of the hedging instrument held needs to be adjusted dynamically, in line with the changing hedge ratio.
