l*******1
发帖数: 113 | 1 1. what is skew delta? how to calculate?
2. if you enter into a 90-110 risk reversal, how does the skew delta compare
with the black scholes delta?
3.If you hedge your risk reversal with the black scholes delta instead of
the skew delta, do you lose/make money and why?
4.you think the skew is cheap and you buy skew by entering into a risk
reversal. when the spot goes up, do you restrike? Why or why not?
Lucas | J*****n
发帖数: 4859 | | m********8
发帖数: 7463 | 3 奇技淫巧而已。早忘记早省心
【在 J*****n 的大作中提到】
: 忘光了。。。。。。。
| P****d
发帖数: 369 | |
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