Madan, Dilip B. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 1-25
An argument for adjusting Black Scholes implied call deltas downwards for a gamma exposure in a left skewed market is presented. It is shown that when the objective for the hedge is the conservation of capital ignoring the gamma for the delta position is expensive. The gamma adjustment factor in...
