Consider a delta neutral portfolio of derivatives, For a small change in the price of the underlying asset, S, over a short time interval, t , show that the change in the portfolio value, , satisfies where S1 Ost r 8S2, SI 8s,...

ANSWER The value of a deltaneutral portfolio of derivatives is independent of small changes in the p ...

Consider a delta-neutral portfolio of derivatives, . For a small change in the price of the underlying

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Consider a delta-neutral portfolio of derivatives, Π. For a small change in the price of the underlying asset, δS, over a short time interval, δ_t, show that the change in the portfolio value, δΠ, satisfies

where

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Question Posted: Sep 23, 2020 05:55 AM

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Consider a delta-neutral portfolio of derivatives, . For a small change in the price of the underlying

Question:

S1 = Ost + r 8S2, SI = 8s²,

Step by Step Answer:

ANSWER The value of a deltaneutral portfolio of derivatives is independent of small changes in the p...View the full answer

Introduces Quantitative Finance

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