i****k
发帖数: 39 | 1 Q1: Assuming Black-Scholes and given our portfolio is now Vega neutral, will
it be Gamma neutral?
Q2: If we don't believe in Black-Scholes will our portfolio be Gamma neutral
if it is Vega neutral? |
J******d
发帖数: 506 | 2 如果你真的相信BS的话，就不会有Vega这个东西。 |
c******s
发帖数: 270 | 3 lol...
but you still have vega |
p******i
发帖数: 1358 | 4 这个算是什么题目？
vega neutral的portfolio gamma可正可负可以是0， vice versa
will
neutral
【在 i****k 的大作中提到】
: Q1: Assuming Black-Scholes and given our portfolio is now Vega neutral, will
: it be Gamma neutral?
: Q2: If we don't believe in Black-Scholes will our portfolio be Gamma neutral
: if it is Vega neutral?
|
l*******l
发帖数: 248 | 5 Q1,Vega neutral说明stock没有vol，所以return就是risk free rate.gamma应该是零
Q2，not necessarily
will
neutral
【在 i****k 的大作中提到】
: Q1: Assuming Black-Scholes and given our portfolio is now Vega neutral, will
: it be Gamma neutral?
: Q2: If we don't believe in Black-Scholes will our portfolio be Gamma neutral
: if it is Vega neutral?
|
p******i
发帖数: 1358 | 6 wrong
vega neutral means vol doesn't matter LOCALLY
【在 l*******l 的大作中提到】
: Q1,Vega neutral说明stock没有vol，所以return就是risk free rate.gamma应该是零
: Q2，not necessarily
:
: will
: neutral
|
w*****e
发帖数: 197 | 7 I think the answer is no for both. Vega and Gamma are two separate concepts.
There is very little connection. And you can refer to the classic formula
on wiki. |
W*******d
发帖数: 63 | 8 Q1:
two options with same underlying, same strike, different maturity T1 and T2,
where T1 < T2
we will have vega1 < vega2
and gamma1 > gamma2
so choose a ratio h > 1, where: h * vega1 - vega2 = 0
we will have:
h * gamma1 - gamma2 > 0
will
neutral
【在 i****k 的大作中提到】
: Q1: Assuming Black-Scholes and given our portfolio is now Vega neutral, will
: it be Gamma neutral?
: Q2: If we don't believe in Black-Scholes will our portfolio be Gamma neutral
: if it is Vega neutral?
|
u******s
发帖数: 157 | 9 In BS world, we have
vega = t*sigma*s^2*Gamma
Aren't these two concept linked somehow? |
l*********t
发帖数: 89 | 10 Indeed, this conclusion is given in Taleb 1997. And it's not hard to prove
under B-S framework. A little correction, your "t" should be "T-t" :)
But... i cant see how we can use the conclusion here...
【在 u******s 的大作中提到】
: In BS world, we have
: vega = t*sigma*s^2*Gamma
: Aren't these two concept linked somehow?
|
a*********r
发帖数: 139 | 11 agree.
concepts.
【在 w*****e 的大作中提到】
: I think the answer is no for both. Vega and Gamma are two separate concepts.
: There is very little connection. And you can refer to the classic formula
: on wiki.
|
w******i
发帖数: 503 | 12
it is still hard to see the answer...
【在 l*********t 的大作中提到】
: Indeed, this conclusion is given in Taleb 1997. And it's not hard to prove
: under B-S framework. A little correction, your "t" should be "T-t" :)
: But... i cant see how we can use the conclusion here...
|
l*********t
发帖数: 89 | 13 I think if the portfolio consists of products on the same underlying asset,
then the answer to Q1 is true. Because of the fact that: vega = t*sigma*s^2*Gamma. |
