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- 2011-7-2
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- 2015-12-9
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"Yes they are. In a delta hedge, if the stock goes up by 1USD, the calls will go down by 1USD*delta (assuming the dealer is short). So overall the change in value of the portfolio is zero."
Delta is between 0 and 1. so, the delta must be 1 for the net change to be zero - meaning you are deep in the money. In that case, you may be delta neutral. right? |
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发表于 2011-7-11 15:22
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