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Search found 2 matches
by
zhongx
September 4th, 2005, 3:30 am
Forum:
Technical Forum
Topic:
P&L of Delta Hedged Option Position
Replies:
23
Views:
145019
P&L of Delta Hedged Option Position
Isn't the PnL is always negative and equal to the option price C(0) assuming a constant vol which is also used for delta, according to Hull's book?
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by
zhongx
September 2nd, 2005, 8:43 pm
Forum:
Technical Forum
Topic:
P&L of Delta Hedged Option Position
Replies:
23
Views:
145019
P&L of Delta Hedged Option Position
sorry, what is the definition of P&L? (the value chage of the delta-hedged position?)where I can find the reference of the theoretical approximation you gave in the first place?
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