Fair2019-02-08 21:52:17

Initially, the call option on Big Kahuna Inc. with 90 days to maturity trades at USD 1.40. The option has a delta of 0.5739. A dealer sells 200 call option contracts, and to delta-hedge the position, the dealer purchases 11,478 shares of the stock at the current market price of USD 100 per share. The following day, the prices of both the stock and the call option increase. Consequently, delta increases to 0.7040. To maintain the delta hedge, the dealer should: 这一题，听完老师的讲解还是完全不明白，老师的书写又潦草，又解释不清楚o(╥﹏╥)o，是不是默认每一份stock的delta是1？然后为什么要先求出X=100，这个不明白什么意思……