upcarta
  • Sign In
  • Sign Up
  • Explore
  • Search

Jonathan

@jonathanplk
6 Followers 7 Following
Overview Posts Recommendations
Recent recommendations
See All
  • Optimal Delta Hedging for Options
Recent posts
See All
Jonathan @jonathanplk · Feb 6, 2023
  • Post

Great paper, showing how the Minimum-Variance Delta can be approximated in parametric form using the traditional BS-delta - and then estimated with historical data by a simple regression. A clever alternative to NNs for the data-driven hedging of options!

Paper
Optimal Delta Hedging for Options
Post Add to Collection Mark as Completed
Recommended by 1 person
1 mention
Share on Twitter Repost
  • upcarta ©2025
  • Home
  • About
  • Terms
  • Privacy
  • Cookies
  • @upcarta