LECTURE 4 — OPTIONS HEDGING
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6 Terms
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Call Payoff
Max(B_T − X, 0) − C
2
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Put Payoff
Max(X − B_T, 0) − P
3
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Option Value Change
ΔV = N·δ·D·B·ΔR/(1+R)
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Micro Option Hedge
N = − ΔB / [δ·D·B·ΔR/(1+R)]
5
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Macro Option Hedge
Np = [(DA − k·DL)·A] / [δ·Dp·B_p]
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Note 
Flashcards (36)