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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?
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?