The option delta is used to determine the hedge ratio for options positions. Delta-neutral portfolios are independent

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The option delta is used to determine the hedge ratio for options positions. Delta-neutral portfolios are independent of price changes in the underlying asset. Even delta-neutral option portfolios are subject to volatility risk, however. p-69

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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Question Posted: Jul 31, 2024 05:01 AM

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The option delta is used to determine the hedge ratio for options positions. Delta-neutral portfolios are independent

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ISE Investments

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