标题: You get this one? [打印本页] 作者: adehbone 时间: 2011-7-11 19:43 标题: You get this one?
A delta neutral hedge is implemented by:
1. Buying calls equal to call delta times (shares/contract size)
2. Selling calls equal to (1/call delta) times (shares/contract size)
3. Selling puts equal to (1/call delta) times (shares/contract size)作者: Zestt 时间: 2011-7-11 19:43
Is 2... 3 makes no sense作者: zwjy 时间: 2011-7-11 19:43
2.
Hedge Ratio = -1/delta x (V / n)作者: cityboy 时间: 2011-7-11 19:43
I got this far -
N(s) = - (delta)(N(o))
Rearange...
N(o)= -(1/delta) x N(s)
Then I figured 2 or three could be right since we don't know whether we are going long or short stock. How did you eliminate 3?作者: Chuckrox 时间: 2011-7-11 19:43
Good spot bidder.作者: bodhisattva 时间: 2011-7-11 19:43
Research mainly for a supplimental GIPS component (as GIPS evolves). For far too long fair performance presentation standards for fish have been overlooked. "It was this big", for example lacks a benchmark, with no stated reason, and do you think fishermen store this data? Think again buddy!
