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Sprinter
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Posts: 103
Joined: October 21st, 2012, 11:05 am

delta hedging day pnl

April 26th, 2017, 1:44 pm

Has anybody proved this delta hedging day pnl = 0.5(realized_volatity - implied_volatility)gamma x S^2 x dt in a spreadsheet. 
I reconciled option price change = delta here 

I don't know how much correct this is
Last edited by Sprinter on April 27th, 2017, 7:46 am, edited 1 time in total.
 
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frolloos
Posts: 1621
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: delta hedging day pnl

April 26th, 2017, 6:08 pm

What do you mean proved this? One of the classic papers on this topic is "which free lunch would you like today, sir", by Wilmott and Ahmad. Google it.
 
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Sprinter
Topic Author
Posts: 103
Joined: October 21st, 2012, 11:05 am

Re: delta hedging day pnl

April 27th, 2017, 7:45 am

reconciled formula
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