All Questions
Tagged with optimal-hedge-ratio delta-hedging
1
question
1
vote
0
answers
116
views
How does delta adjustment relate to skew stickiness ratio (SSR)?
The correct delta hedging of a derivative $V$ in a model where volatility $\sigma$ is a function of the underlier $S$ requires a stock holding of an amount
$$
\frac{dV}{dS}=\frac{\partial V}{\partial ...
- 263