R***m
发帖数: 24 | 1 I'm aware that I can delta hedge a European stock put option by shorting
delta units of the underlying stock and longing some bonds such that ideally
the replicating portfolio (short position in stock and long position in
bonds) always equals the value of the option however the stock price moves.
The bond position in the replicating portfolio hence is put-delta * stock. (
delta is negative)
However if I short stock index futures instead of the stock what's the
position of bond that should be hel | r**u
发帖数: 69 | 2 my understand is that the bond position is just to help you to earn risk
free rate, while the option price movement is delta hedged by the stock. in
that case, if you short options on a basket of stocks, you would delta hedge
with that basket of stocks, and put whatever money left in your hand in
risk free bond.
for options on futures, i think that you can delta hedge with other futures
contract as well (just think of it as an asset). in that case, you still use
the money at hands (after MTM) to
【在 R***m 的大作中提到】
: I'm aware that I can delta hedge a European stock put option by shorting
: delta units of the underlying stock and longing some bonds such that ideally
: the replicating portfolio (short position in stock and long position in
: bonds) always equals the value of the option however the stock price moves.
: The bond position in the replicating portfolio hence is put-delta * stock. (
: delta is negative)
: However if I short stock index futures instead of the stock what's the
: position of bond that should be hel
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