Alexander, Carol; Imeraj, Arben - 2022
We analyse robust dynamic delta hedging of bitcoin options using a set of smile-implied and other smile-adjusted deltas … dynamic delta hedging is based solely on equity index options, but analysis of our unique data set of hourly historical … maturities of 10, 20 and 30 days, we compare the dynamic hedging performance of different smile-adjusted deltas over two one …