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In. Delta hedge, hedged portfolio is one where the gaind and losses cancel out against each other.
No of option calls to sell = no of shares held over N(d1)
That means to make overall gain or loss is zero., We assume that call option is always the half prive of the share price ?
If theres a big difference between the change in value of call option and share price, overall gain or loss will not be 0 isnt ??
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