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In calculating for the number of put options to buy (rather than call options) do we use N(-d1) instead of N(d1)?
I think you’re confusing real options with the derivatives (transaction options).
We use BSOP model to calculated the value of real option, and it doesn’t have anything with the contracts. If you wanna calculate the number of contracts, you’ll need to identify (a) what is the amount you need to buy or sell and (b) what is the value of the contract on the derivatives market.@trendline said:
In calculating for the number of put options to buy (rather than call options) do we use N(-d1) instead of N(d1)?Yes, I think that’s correct. In the question 12/10 Marengo the delta hedge for a put option is applied exactly in that way.
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