Break-Even Volatility
A profit or loss (P&L) of a dynamically hedged option depends on the implied volatility used to price the option and implement the hedges. Break-even volatility is a method of solving for the volatility which yields no profit or loss based on replicating the hedging procedure of an option on a h...
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| Format: | Dissertation |
| Language: | English |
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Faculty of Commerce
2020
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| Online Access: | http://hdl.handle.net/11427/30980 |