Artur Sepp Blog on Quantitative Investment Strategies

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    • How to optimize volatility trading and delta-hedging strategies under the discrete hedging with transaction costs

      Posted at 3:37 pm by artursepp, on May 1, 2017

      What is volatility trading?

      In this post I would like to discuss a practical approach to implement the delta-hedging for volatility trading strategies. While it is customary to assume a continuous-time hedging in most of the industrial applications and academic literature, the delta-hedging in practice is applied in the discrete time setting. As a result, to optimise the delta-hedging for the practical implementation, we need to consider the discrete time framework. That is why I would like to highlight some of my research and discuss my approach under the discrete time setting and the transaction costs to optimize the delta-hedging.

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      Posted in Quantitative Strategies, Uncategorized, Volatility Modeling, Volatility Trading | 2 Comments
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