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Using Options on Greeks as Liquidity Protection

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Author Info
David Bakstein
Sam Howison
Abstract

In this paper we suggest derivative contracts related to the Greeks of options; we show how to value them and how they can be used to manage the risk of a portfolio of derivatives. We further describe certain types of these options, namely those related to the Delta and Gamma, which can be regarded as a form of insurance against liquidity holes and transaction costs for the writer of the contract representing the underlying.

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Paper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2003mf03.

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Date of creation: 2003
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Handle: RePEc:sbs:wpsefe:2003mf03

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