Practice Options
Delta-hedge a short call and explain the P&L
Hard+50 pointsAbout 75 minutesOptions
Coming soon
Rebalance a hedge daily along simulated paths, then split the P&L into gamma, theta and hedging error.
This problem opens with Derivatives Modelling. It draws on the modules below.
- Derivatives 1.7 Greeks and hedging (coming soon)
- Computing 3.6 Dynamic hedging (coming soon)