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Risk Management > Derivatives Risk Management

Risk Management > Derivatives Risk Management

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Published by: api-27174321 on Oct 14, 2008
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03/18/2014

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Derivatives Risk Management
1
Copyright \u00a9 2000-2006
Investment Analytics
\ue000Delta hedging
\ue000
Agenda
\ue000
Sensitivity factors
\ue000
Delta
Copyright \u00a9 2000-2006 Investment Analytics
Slide: 2
Option time value
\ue000
Gamma and leverage
\ue000
Volatility sensitivity
\ue000
Gamma and Vega hedging
\ue000
Option Sensitivity Factors
Copyright \u00a9 2000-2006 Investment Analytics
Slide: 3
What affects the price of an option

\ue000the asset price, S
\ue000the volatility,\u03c3
\ue000the interest rate, r
\ue000the time to maturity, t
\ue000the strike price, X

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