一定是这本,第二版的, 非常好一本介绍hedge ratio的书。
这几个greeks 看似简单,但是对于各种情况却千变万化
貌似只是些差分、导数,但却可以成为风险规避的利器
所有这些的实现都需要非常好的Intuition,貌似这书在这方面能很有帮助,下面是原文简介
This book is intended to be educational in nature, both theoretically and
practically. It is meant to generally explore the factors that influence option
prices so that the reader may gain an understanding of how options work in
the real world. This book does not prescribe a specific trading system or
method. This book makes no guarantees.
Any strategies discussed, including examples using actual securities and
price data, are strictly for illustrative and educational purposes only and are not
to be construed as an endorsement, recommendation, or solicitation to buy or
sell securities. Examples may or may not be based on factual or historical data.
In order to simplify the computations, examples may not include commissions,
fees, margin, interest, taxes, or other transaction costs. Commissions
and other costs will impact the outcome of all stock and options transactions
and must be considered prior to entering into any transactions. Investors
should consult their tax adviser about potential tax consequences. Past performance
is not a guarantee of future results.
Options involve risks and are not suitable for everyone. While much of
this book focuses on the risks involved in option trading, there are market
situations and scenarios that involve unique risks that are not discussed.
Prior to buying or selling an option, a person should read Characteristics and
Risks of Standardized Options (ODD). Copies of the ODD are available from
your broker, by calling 1-888-OPTIONS, or from The Options Clearing
Corporation, One North Wacker Drive, Chicago, Illinois 60606.
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