a******6
发帖数: 78 | 1 john Hull那本书上提到了:
"option traders usually rebalance their portfolios at least once a day to
maintain delta neutrality. It is usually not feasible to maintain gamma and
vega neutrality on a regular basis. Typically a trader monitors these
measures. If they get too large , either corrective action is taken or
trading is curtailed."
为什么只提到了delta gamma and vega neutrality，而没有Theta呢？
还有一个问题：
assume BS and delta-neutral portfolio, then:
\theta + (1/2)\gamma S^2 \sigma^2 = r\Pi
where \Pi is the portfol | l*****i
发帖数: 3929 | 2 Normally (Note I said normally) for a portfolio, gamma and theta have opposi
te signs.
and
gamma
【在 a******6 的大作中提到】
: john Hull那本书上提到了:
: "option traders usually rebalance their portfolios at least once a day to
: maintain delta neutrality. It is usually not feasible to maintain gamma and
: vega neutrality on a regular basis. Typically a trader monitors these
: measures. If they get too large , either corrective action is taken or
: trading is curtailed."
: 为什么只提到了delta gamma and vega neutrality，而没有Theta呢？
: 还有一个问题：
: assume BS and delta-neutral portfolio, then:
: \theta + (1/2)\gamma S^2 \sigma^2 = r\Pi
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