Week 9 Flashcards
1
Q
Derive delta of an option
A
(Or replicate a long position)
2
Q
Hedging error
A
In reality we can only rebalance at discrete times for self financing portfolio
3
Q
Calculating implied vol
A
For some T and K, using starting price in black scholes to calculate implied vol
4
Q
Vega
A
volatility is not constant therefore partial wrt σ is important
