An illustration of Black Scholes’ Delta Hedging

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Illustrates using some numeric examples the effectiveness of Black Scholes’ delta hedging argument to replicate the option price.
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Комментарии
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This guy is special.Thank you very much for your excellent analysis, which really strips the problem down to its essential components.

fminc
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A very clear explaination. You are the best. Best wishes from Sweden

henrikswedish
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Very well explained and presented. Thank you for doing such a great job!

DavidTrenchman
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Thanks for the great video! Could you please elaborate how you calculate delta at 3:13? Thank you very much in advance!

Tyokok
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Love the video, just what I was looking for, thanks!

Idontdoitboii
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Keep up the good work. (I wish I had sthg like this some 20 yrs ago ...)

wcemkfd
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Thank you for creating such a great video explaining this. Absolutely the best on Youtube!

I have a quick question though, if we are selling a put, do we buy or sell the stock to hedge? If we are selling the stock, do we borrow from the bank to sell it? Can you give me a hint on how to proceed?

opehza
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Thanks. Very clear explanation. please keep adding more and more such videos.

surendrabarsode
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well explained! But I have a question that when I put dividend in it, it can’t hedge well, how could I deal with dividend

junwang
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How do you calculate the initial delta at time 0? You mentioned that we know that from the Black-Scholes formula but could you explain it to me?
Thanks

danielr
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How do you calculate the delta over time? I have not been able to find a decent explanation.

Edit: I have still not been able to find a decent explanation. Any help would be appreciated.

Brassard
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Couldn't we, as the call option seller, just buy 1 stock in the beginning for 10$ (with our own capital), which will rise to 13.8 $ at maturity. We sell it then for 13.8 $ and pay 3.8 $ to option buyer. We keep the difference, our 10$ initial investment (but give up on interest we could earn on the 10$) and the option premium of course, which we receive at t=0.

wantoxy
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EXCELLENT MATERIAL
IS POSSIBLE TO GET SOME TEMPLATES FOR TEACHING.

evaristodiz