El reencuadre es una técnica que se utiliza para cambiar la forma en que una persona percibe una situación. Por ejemplo, si alguien está preocupado por un error que cometió en el trabajo, el reencuadre podría implicar ver el mistake como una oportunidad de aprendizaje en lugar de un fracaso.
In financial commitment banking, PnL stated (also known as P&L demonstrate, P&L attribution or profit and reduction discussed) is really an revenue statement with commentary that attributes or explains the day by day fluctuation in the value of a portfolio of trades to the foundation causes of the adjustments.
I'm keen on understanding the PnL among $t_0$ and $t_2$ of currently being very long 1 device of dangerous asset. Nevertheless I've two contradictory reasonings:
But you would like to think about the query in An even bigger photo feeling. How would hedging frequency influence the final results in excess of A huge number of simulations?
Vega p/l is by definition the p/l as a result of moves in implied volatility. The next Portion of the concern you might have answered by yourself. Quick dated choices have more gamma publicity, extensive dated selections have far more vega exposure.
This short article requirements extra citations for verification. Make sure you aid enhance this short article by adding citations to trusted sources. Unsourced product may very well be challenged and taken off.
$begingroup$ Underneath the assumptions of GBM - particularly that periodic returns are impartial of each other - then hedging frequency will likely have 0 influence on the envisioned P/L over time.
InnocentRInnocentR 72211 gold badge66 silver badges1818 bronze badges $endgroup$ 1 $begingroup$ When you were to delta hedge repeatedly and with a costless basis, then your payoff at expiry would match that of a vanilla possibility.
Exactly what are efficient numerical techniques for resolving coupled Sylvester-like equations? extra warm questions
$begingroup$ I am unsure what you signify by "cross" effects - the one correlation is that they both are capabilities from the transform in underlying ($Delta S$)
Por lo tanto, la PNL nos ayuda a crear nuevos programas mentales que nos facilitan muchos aspectos de nuestra vida y que nos ayuden a trabajar en objetivos para lograr lo que soñamos y deseamos.
Stack Exchange community contains 183 Q&A communities like Stack Overflow, the largest, most dependable on the net Neighborhood for developers to master, click here share their know-how, and Construct their careers. Stop by Stack Exchange
Este tipo de estrategias son increíblemente desproporcionadas y juegan con la salud de muchas personas que deparan su confianza en profesionales con una supuesta preparación y una ética a la hora de desarrollar su actividad.
$begingroup$ The knowledge I have discovered about delta hedging frequency and (gamma) PnL on this site and diverse Other folks all reiterate a similar factor: the frequency at which you delta-hedge only has an effect on the smoothness and variance of your respective PnL.