Let’s say you are going to hedge a portfolio and you remember the Greek Letters. What do you need to think about when you establish a hedge ratio? Hint: when might you need a “dynamic” hedging strategy versus “a hedge and hold” and how does that relate to the different inputs into Black-Scholes model.

Answer rating: 100% (QA)

An ideal hedge ratio additionally called minimumvariance hedge ratio is a proportion that tells util... View the full answer