In hedging using the BlackScholesMerton model, we used the phrase the good, the bad, and the ugly.
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The good are delta hedging and gamma hedging The bad and the ugly is Vega hedging ...View the full answer
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Related Book For
An Introduction to Derivative Securities Financial Markets and Risk Management
ISBN: 978-0393913071
1st edition
Authors: Robert A. Jarrow, Arkadev Chatterjee
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