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  1. Nicole Seaman

    P1.T4.821. Delta hedging, scenario analysis and portfolio insurance (Hull, Ch.19)

    Learning objectives: Describe how hedging activities take place in practice, and describe how scenario analysis can be used to formulate expected gains and losses with option positions. Describe how portfolio insurance can be created through option instruments and stock index futures Questions...
  2. Nicole Seaman

    P1.T4.818. Futures delta and dynamic delta hedging (Hull Ch.19)

    Learning objectives: Describe delta hedging for an option, forward, and futures contracts. Describe the dynamic aspects of delta hedging and distinguish between dynamic hedging and hedge-and-forget strategy. Define the delta of a portfolio. Questions: 818.1. A market maker takes a short...
  3. N

    Delta hedging

    Hi David This is supposed to be an easy one but I am struggling with one Schweser question relating to delta hedging. Suppose that a call option on Stock Y with a strike price of $50 trades at $3 and that the delta on this option is equal to 0.5. Derivatives trader Ralph currently owns 10,000...