R62, EOC question 8 (pg. 233) it says the delta hedge is
#shares to hedge / N(d1)
We are trying to hedge 100,000 shares we own that currently at $38, so we're going to sell calls against them. The question is how many calls... that depends on the Delta of the option, of course. Why are they using option "X" at $46 instead of the at the money option "W" at $38 to hedge?
Matt |
发表于 2011-7-13 13:41
| 