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3

Think of this in terms of Taylor series. Let's say the option price today is $C\left(S,t\right)$ where S is the underlying price and t time. Let's say the underlying price changes by $\Delta S$ in a time interval $\Delta t$, so your P/L will be: $\mathrm{P/L}=C\left(S+\Delta S,t+\Delta t\right)-C\left(S,t\right)$ Use Taylor series to first order in t and ...

1

These papers study delta-hedging of equity options with different models. @Article{, author = {Gurdip Bakshi and Charles Cao and Zhiwu Chen}, title = {Empirical Performance of Alternative Option Pricing Models}, journal = {Journal of Finance}, year = 1997, volume = 52, number = 5, pages = {2003--2049}, } @Article{, author = {...

0

It is simpler than the other Greeks, and the reason you don't hear a lot about $\rho$ is because it has smaller impact in the scheme of things. Let's say we are in the BS world, then the rho formulae for a call or put are rather simple: $\rho_{\mathrm{Call}} = K { e^{- r_{d} \tau} }\tau { N\left (d_{2} \right ) }$ \$\rho_{\mathrm{Put}} = - K { e^{- r_{d}...

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