**Unformatted text preview: **r . What is you global position at time T (depending on the stock value at that date)? 4. (8 marks) Suppose that you sell one option at time t = 0 and you take a position on the stock equals to the Delta Δ (at that date t = 0). Describe the trades you perform at time t = 0 to build your hedging portfolio. We suppose that you keep the delta position chosen at time t = 0 along the tree, that is to say do not perform a dynamic hedging. What is your global position at time T depending on the stock value at that date? 1...

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- Spring '14
- Management, Given name, Cudd