In Volatile Markets, Dynamic Hedging May Be Difficult to Implement

question 44

Multiple Choice

In volatile markets, dynamic hedging may be difficult to implement because

• A)prices move too quickly for effective rebalancing.
• B)as volatility increases, historical deltas are too low.
• C)price quotes may be delayed so that correct hedge ratios cannot be computed.
• D)volatile markets may cause trading halts.
• E)All of the options

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