Serving the Quantitative Finance Community
portfolio delta
how can I calculate delta of a porfolio consisting of options in 5 different stocks?Should I add delta in value terms?Should I adjust delta value of each stock with some adjustment factor like beta?
Last edited by edelweiss on December 28th, 2006, 11:00 pm, edited 1 time in total.
portfolio delta
you can to a certain extent 'sum up' your portfolio delta with the help of Beta, search Beta-weighted delta for detail.