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What is Systematic Delta-Hedging in FX Options about?

This paper presents the design and back-testing of a systematic delta-hedging strategy for short-dated EURUSD options, demonstrating that the strategy can yield significant financial gains with a Sharpe ratio exceeding 3.0. The research highlights the importance of timing in option sales, particularly noting that selling on Thursdays maximizes returns. The algorithm

Author

stuart

Language

EN