Delta hedging bitcoin options with a smile

DOI10.1080/14697688.2023.2181205zbMath1519.91252OpenAlexW4323276429MaRDI QIDQ6158441

Unnamed Author, Carol Alexander

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2181205

zbMATH Keywords

robust financederivatives hedgingdynamic delta hedgingimplied volatility curveperpetual contract

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Crypto quanto and inverse options

Cites Work

• The Pricing of Options and Corporate Liabilities
• SMILE MODELING IN COMMODITY MARKETS
• Arbitrage-free smoothing of the implied volatility surface
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Delta-hedging vega risk?
• Model-free price hedge ratios for homogeneous claims on tradable assets

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