Читать книгу Positional Option Trading - Euan Sinclair - Страница 14

 Arbitrage-free option pricing models do not include the underlying return. BSM includes only volatility.

 Inverting the pricing model using the option's market price as an input gives the implied volatility.

 The average profit of a hedged option position is proportional to the difference between implied volatility and the subsequent realized volatility.

 Practical option hedging is designed to give an acceptable level of variance for a given amount of transaction costs.