Working Papers
The WNE Working Papers series has been published by the Faculty of Economic Sciences at the University of Warsaw since 2008.
The WNE Working Papers series provides a fast, open channel for disseminating research conducted at the Faculty of Economic Sciences, University of Warsaw. The papers hosted here are working versions (pre-prints) and may evolve as authors refine their analyses, incorporate feedback, or progress through formal peer-review. What you read is the current version released by the authors, timestamped and assigned DOI/ISSN identifiers to ensure precise citation and version tracking. Copyright remains with the authors, who may, at any time, upload a revised file or add a note directing readers to a later, peer-reviewed publication.
The Working Papers series accepts articles by research employees of the Faculty and publications from conferences organised at the Faculty of Economic Sciences at the University of Warsaw. Articles should be original research papers which have not been previously published, on the subject of economics.
Please send your paper by e-mail:
Please send 2 files:
(1) the main text without the title of the article and the authors (DOC/DOCX file) and
(2) the title page including: the title of the paper, the authors and their affiliation (DOC/DOCX file).
Please read the detailed editing requirements before submitting your text.
Number of Results 1
WP(27/2014)144. Options delta hedging with no options at all
The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility without…
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