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Dear Sir,
In the question Marengo, they took the number of options to be as:
Amount to be hedged/(amount in 1 contract * delta)Can i just memorize this formulae?
As in can i assume, whenever they want us to calculate the number of contracts in a black scholes pricing question, we should take the delta value and multiply in the denominator?Delta as in N(d1)
thanks
Yes – just memorise the formula 🙂
(I do explain it in my free lectures on share options).Thank you so much sir.
I highly appreciate it, you’ve been so helpful…I cannot amount that in words. Thank you again and God bless
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