Delta

hjjin · February 14th, 2010, 10:21 pm

If the payoff of the contract is given by in a Black-Scholes market (i.e. the underlying asset follows BS), how can you obtain a closed-form expression for the delta of this contract (or simply, calculate delta at any time t)?

brotherbear1220 · February 15th, 2010, 6:26 am

No one is going to do your homework for you.

hjjin · February 19th, 2010, 2:16 am

QuoteOriginally posted by: brotherbear1220No one is going to do your homework for you.It was not my homework, far from it. I know the given payoff is merely in the form of that of a call option with K = 0.95*S0, and it is BS, so it becomes trivial. I saw this somewhere and it made me think for a moment to realize it (at that moment), so I just posted for fun.If you felt that I was asking my homework question, you could have just left it uncommented. I mean, why bother saying so when the number of (= lack of) replies would have said it for you. I am just saying lol

Hansi · February 19th, 2010, 10:52 am

QuoteOriginally posted by: hjjinQuoteOriginally posted by: brotherbear1220No one is going to do your homework for you.If you felt that I was asking my homework question, you could have just left it uncommented. I mean, why bother saying so when the number of (= lack of) replies would have said it for you. I am just saying lolMaybe he felt it needed in order to spur off similar questions in the future?

JWYWXQ · February 24th, 2010, 8:57 pm

The answer is trivial .... you just need to do some transformation max(0.95,S_T/S_0)=1/S_0*(max(S_T-0.95S_0)+0.95S_0); and you can get the delta right away