7 янв. 2018 г. · You can consider a multivariable delta if your security V depends on two stocks A and B: the gradient of V is ∇V=⟨∂V∂A,∂V∂B⟩.

6 нояб. 2021 г. · We know the delta of a portfolio of options is simply the sum of deltas of the individual options. But are there any additional known properties ...

2 февр. 2019 г. · You are right with your statements. The delta formula for calls is correct and Δp=1−Δc. However, if you are short an option with delta Δ, your ...

26 дек. 2019 г. · Take a portfolio of options, all written against the same underlying product, and use average other inputs into Black Scholes to get the delta of the entire ...

8 мая 2021 г. · My investment portfolio has one share of one call and one put, what would be the delta of my portfolio ? delta of call:0.45 delta of put: -0.14

26 нояб. 2021 г. · The contract delta tells you about relative changes and is defined as Contract delta=(ΔV/V)(Δπ/π)=(% change in CB value1% change in parity),

19 апр. 2024 г. · Ie if AAPL and MSF have 100% dependence, but AAPL has 2x deviation, then your MSFT position needs to be 2x of AAPL to be neutral.

29 июн. 2020 г. · The delta equivalent position in the stock is 260+0.6*(-500) = -40 shares of stock. Now find the VaR of this position.

15 окт. 2020 г. · The portfolio value is X(t,St)=−p(t,St)+Δ×St. To make the portfolio delta neutral we require the portfolio to be insensitive to changes in St ...

21 сент. 2018 г. · I came across some lecture notes, that claim that if Π=ΔS−V is Δ-hedged then value of such portfolio is 0 at time of expiration of the option T.