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share options(Call and Put)

This topic has 1 reply, 2 voices, and was last updated 7 years ago by John Moffat.

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January 4, 2017 at 5:34 pm #365100
Raza
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sir i have a question related to delta hedge,we can sell call options in order to hedge but can you tell me how can i calculate delta of put option and in delta hedge working why we use N(d1) why not N(d2)
January 5, 2017 at 6:56 am #365142
John Moffat
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Whenever there has been a put option, then the question has always told you what to use (and it is N(-d1) ). It is d1 that determines how the option price changes with the share price, in the short term (and this is explained in my lecture on option pricing).
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