Devin Anderson – Strategy versus Structure in Tail Hedging (S6E14)
Flirting with Models
The Importance of Rebalancing Flows in Options Markets
replication strategies are interesting because you can avoid maybe paying the volatility risk premium. But it's going to subject you to risk in all of these scenarios where the replication would underperform the actual contract, which results from the difference between the assumptions that the models is making and actual life market. And I do want to end this on a bit of a spicier note. This is a hot button topic for you. There is a lot of hand reading nowadays about the end of quarter trades of a very large option based mutual fund strategy. And an argument that the rolling of their delta is ultimately influencing the movement of underlying markets. So we're not talking about the price of options anymore. We
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