Serving the Quantitative Finance Community
Equity Basket Options - Deltas and Limit System
Hello,If you have an PLV option on a basket of USD equities (let's say 10 equities which are equally weighted at beginning) how do you calculate your deltas for each equity ? Do you shift each underlying by 1 USD or by 1% and how exactly do your deltas come into the limit system ? If you use the 1 USD Shift approach with equites with quite different absoule values (eg. one equity trades at 200 USD and another one at 3 USD) how to best rescale the deltas you get ?Best,Christoph