El modelado es una técnica que implica observar y replicar los patrones de pensamiento y comportamiento de personas que han logrado éxito en un área específica.
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Nivel Egres: In the perspective of gamma pnl, The one thing that matters may be the transform in your asset rate. Frequency is irrelevant - you'll be able to rebalance at distinctive time periods or when delta exceeds a threshold or a number of other matters - it remains an approximation of continuous integral along with your envisioned P&L would be precisely the same.
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So how does delta-hedging frequency just influence the smoothness and variance of PnL if we can easily Evidently see it affects PnL itself in this example?
Let us also take into account constant fascination charge r and continuous hazard charge $lambda$ about the lifetime of the deal. $$
$begingroup$ The knowledge I have found about delta hedging frequency and (gamma) PnL on This page and various Other individuals all reiterate a similar thing: the frequency at which you delta-hedge only has an impact on read more the smoothness and variance of your PnL.
That isn't the same as the pnl equalling the value paid out, rather the predicted pnl of your strategy will be similar to the option benefit. $endgroup$
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La PNL se puede definir como un conjunto de herramientas y técnicas que permiten a las personas comprender y modificar sus patrones de pensamiento, emociones y comportamientos. El término “Programación” se refiere a la thought de que nuestras experiencias y comportamientos son el resultado de programas mentales que hemos aprendido a lo largo de nuestra vida.
Above any longer length of time, there is not often a statistically substantial autocorrelation in large frequency returns. If there was, then the above will be applicable which would dampen the result.