gamma-neutral portfolio

См. также в других словарях:

• Gamma Neutral — A method of managing risk in options trading by establishing an asset portfolio whose delta rate of change is zero. A gamma neutral portfolio hedges against second order time price sensitivity. Gamma is one of the options Greeks along with delta …   Investment dictionary

• Delta neutral — In finance, delta neutral describes a portfolio of related financial securities, in which the portfolio value remains unchanged due to small changes in the value of the underlying security. Such a portfolio typically contains options and their… …   Wikipedia

• Vega Neutral — A method of managing risk in options trading by establishing a hedge against the implied volatility of the underlying asset. A vega neutral option position will be not be sensitive to volatility fluctuations. These strategies are used to hedge… …   Investment dictionary

• Гамма-нейтральный инвестиционный портфель — (gamma neutral portfolio) портфель активов, коэффициент гамма которого равен нулю …   Экономико-математический словарь

• гамма-нейтральный инвестиционный портфель — Портфель активов, коэффициент гамма которого равен нулю. [http://slovar lopatnikov.ru/] Тематики экономика EN gamma neutral portfolio …   Справочник технического переводчика

• Greeks (finance) — The Greeks redirects here. For the ethnic group, see Greeks. In mathematical finance, the Greeks are the quantities representing the sensitivities of the price of derivatives such as options to a change in underlying parameters on which the value …   Wikipedia

• Option (finance) — Stock option redirects here. For the employee incentive, see Employee stock option. Financial markets Public market Exchange Securities Bond market Fixed income …   Wikipedia

• Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European …   Wikipedia

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• Binary option — In finance, a binary option is a type of option where the payoff is either some fixed amount of some asset or nothing at all. The two main types of binary options are the cash or nothing binary option and the asset or nothing binary option. The… …   Wikipedia