Are Short Out-of-the-Money Put Options Risky? Part 2: Dynamic Case

This installment is the continuation of the previous one on the riskiness of out-of-the-money vs. at-the-money short put options and the effect of leverage on the risk measures. Here we’re going to perform similar studies with the only exception that from inception until maturity the short options are dynamically hedged. The simulation methodology and parameters are the same as in the previous study.
#risk #volatility #option
blog.harbourfronts.com/2017/09/28/short-money-put-…