Computing Delta on Deal Contingent Options

Sebster · March 2nd, 2006, 1:30 pm

I'm looking into computing the delta on a deal-contingent option. What might be the best way to go about this?

gnblue · March 9th, 2006, 2:00 pm

Could you please share if you find any pointers to do this? Many thanks

estcourt · March 10th, 2006, 10:19 am

Well unless the deal is contingent on some market level, e.g. an FX rate, equity price etc you can't hedge the contingency of the deal, so putting anything other than either 100% or 0% is pretty meaningless isn't it?