PL Attribution Options
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
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