In this note we describe how to obtain reasonable Vegas for European securities priced off a single maturity SABR model calibrated to market data. We first introduce our notations and state what our hedging problem is. We then start by recalling the standard Jacobian methology when the number of...

The introduction of European style equity options in 2015 in China signaled a landmark moment in the development of its financial markets. We examine intraday implied volatility patterns and estimate the contribution of the Shanghai Stock Exchange (SSE) 50 ETF options to price discovery using...