DERIVATIVES

Incorporating Memory and Stochastic Volatility into Geometric Brownian Motion Model

Posted on December 2, 2024 By Harbourfront Technologies

Subscribe to newsletter Geometric Brownian Motion (GBM) is a widely used mathematical model for simulating the random behavior of asset prices in financial markets. It assumes that the price of an asset follows a continuous-time stochastic process, where the logarithmic returns are normally distributed. GBM …

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RISK MANAGEMENT

Hedging Vega Risks with Delta

Posted on November 20, 2024 By Harbourfront Technologies

Subscribe to newsletter Delta hedging is a risk management strategy used to neutralize the impact of price movements in the underlying asset of an option. It involves adjusting the position in the underlying asset to offset the sensitivity of the option’s value, measured by its …

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TRADING

Reexamining the Performance of Passive Options Strategies

Posted on November 24, 2024 By Harbourfront Technologies

Subscribe to newsletter More than 40 years ago, Merton et al. published two papers examining the performance of passive options strategies. They concluded that these strategies outperformed the traditional buy-and-hold approach. At the time of their studies, options data was not widely available, so …

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Latest Post

How Will Bitcoin ETF Options Impact The Markets?

Posted on November 28, 2024 By Harbourfront Technologies

Subscribe to newsletter Bitcoin ETF options started trading last week. The debut of Bitcoin ETF options was met with significant bullish sentiment, as over 80% of trades were call options. Investors exhibited strong optimism about Bitcoin’s future price, with many …

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