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SSRNDerivatives & Volatility

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The paper disputes the belief that the gap between implied and realized volatility is the main factor in profit and loss for delta-hedged options, proposing a new formula for understanding this difference.

Featured in No. 43 on 3 Apr 2024 ·

Released
7 Jul 2023
First featured
No. 43 · 3 Apr 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
169
Identifier
SSRN 4775326

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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