Our study reveals that the optimal transmission probability T is a boxcar function instead of a delta function proposed by Mahan and Sofo, leading to zT exceeding the well-known Mahan-Sofo limit.

什么是Delta中性策略和对冲？ 在讲Delta中性策略之前，我们先要了解什么是Delta。 其实Delta在我们前面很多策略专题里也提到过，Delta是标的价格变化1 ...