---
title: Gamma Scalping American Option Valuation
url: https://www.ml-quant.com/papers/ssrn/5285239/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5285239
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5285239
featured: 2025-06-11
citations: unknown
topic: Derivatives & Volatility
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5285239
- Identifier: SSRN 5285239
- Released: 2025-06-07
- First featured: Quant Letter No. 101 (2025-06-11): https://www.ml-quant.com/issues/2025-06-11/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Risk Revisited](https://www.ml-quant.com/papers/ssrn/4825844/): The study identifies recency, cluster, and sign as three factors shaping investors' risk perceptions of a stock, influencing trading volume and future volatility.
- [Rough Volatility: Fact or Artefact?](https://www.ml-quant.com/papers/arxiv/2203.13820/): Fact or Artifact: The study proposes a new method to estimate the roughness of financial asset volatility, attributing observed roughness to microstructure noise.
- [Neural Jumps for Option Pricing](https://www.ml-quant.com/papers/arxiv/2506.05137/): A neural jump stochastic differential equation model is proposed for option pricing, combining neural networks with the traditional jump diffusion model, enhancing pricing accuracy.
- [Optimal hedging of an informed broker facing many traders](https://www.ml-quant.com/papers/arxiv/2506.08992/): A theoretical framework is developed for optimal hedging strategies for an informed broker dealing with multiple traders, using a mean-field game approach to establish equilibrium strategies.
- [The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework](https://www.ml-quant.com/papers/arxiv/2506.07711/): The study proposes a new theory to explain conflicting observations in market microstructure, attributing price formation to the average impact of metaorders and supporting the Order-Driven theory of excess volatility.
- [Smile asymptotics for Bachelier implied volatility](https://www.ml-quant.com/papers/arxiv/2506.08067/): The study explores the asymptotic behaviour of Implied Volatility in the Bachelier setting, providing explicit expressions for the Bachelier Implied Volatility and linking these to the tail behaviour of the underlying's returns' distribution.