Chap 15

Example ,[object Object],[object Object],[object Object],[object Object],[object Object]

Naked & Covered Positions ,[object Object],[object Object],[object Object],[object Object],[object Object]

Stop-Loss Strategy ,[object Object],[object Object],[object Object],[object Object]

Delta (See Figure 15.2, page 345) ,[object Object],Option price A B Slope =  Stock price

Delta Hedging ,[object Object],[object Object],[object Object],[object Object]

Delta Hedging continued ,[object Object],[object Object],[object Object]

Using Futures for Delta Hedging ,[object Object],[object Object]

Theta ,[object Object],[object Object]

Gamma ,[object Object],[object Object]

Gamma Addresses Delta Hedging Errors Caused By Curvature (Figure 15.7, page 355) S C Stock price S ' Call price C '' C '

Interpretation of Gamma ,[object Object],[object Object],  S Negative Gamma   S Positive Gamma

Relationship Between Delta, Gamma, and Theta For a portfolio of derivatives on a stock paying a continuous dividend yield at rate q

Vega ,[object Object],[object Object]

Managing Delta, Gamma, & Vega ,[object Object],[object Object]

Rho ,[object Object],[object Object]

Hedging in Practice ,[object Object],[object Object],[object Object]

Scenario Analysis ,[object Object]

Hedging vs Creation of an Option Synthetically ,[object Object],[object Object]

Portfolio Insurance ,[object Object],[object Object]

Portfolio Insurance continued ,[object Object],[object Object]

Portfolio Insurance continued ,[object Object]

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