Gamma Scalping American Option Valuation
The paper reassesses the strategy and value of American-style options contracts, highlighting the importance of gamma scalping profitability in the decision to stop.
Featured in No. 101 on 11 Jun 2025 · 4 days after release
- Released
- 7 Jun 2025
- First featured
- No. 101 · 11 Jun 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 5285239
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).