Gamma and Vanna exposures
Автор: KeyPaganRush
Загружено: 2020-12-14
Просмотров: 31590
Описание:
An introduction to how market makers delta hedge their gamma and vanna exposures and the effect it has on price movements.
Uploaded with permission from SqueezeMetrics:
https://squeezemetrics.com.
Original paper by SqueezeMetrics:
https://squeezemetrics.com/download/T...
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