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标题: Delta Q [打印本页]

作者: leadcfa 时间: 2013-4-21 10:21 标题: Delta Q

Give me 3 complicating issues with delta …………. GO!

作者: siavosh 时间: 2013-4-21 10:24

delta estimated with black scholes is different than actual delta
??

作者: bluejazzy 时间: 2013-4-21 10:26

I guess
1) Delta changing even if stock price doesn’t change
2) Delta requires dynamic rebalancing
3) Delta holds good only for small changes in price

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