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Computing Delta on Deal Contingent Options
Posted: March 2nd, 2006, 1:30 pm
by Sebster
I'm looking into computing the delta on a deal-contingent option. What might be the best way to go about this?
Computing Delta on Deal Contingent Options
Posted: March 9th, 2006, 2:00 pm
by gnblue
Could you please share if you find any pointers to do this? Many thanks
Computing Delta on Deal Contingent Options
Posted: March 10th, 2006, 10:19 am
by estcourt
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?