#1
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Option\'s delta
Hello there, Could somebody explain to me how it is possible for my model to calculate a delta of 117 for a particular option? (I contacted the software provider, and they told me that for a short interval (?) an option's delta could exceed 100. I had never heard of that, but upon further questionning on HOW its was possible I wasn't answered in a satisfying way, so I still don't know. Has anyone heard about this ever? Thanks, |
#2
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Re: Option\'s delta
it would be impossible under a standard black-scholes model; my standard reference doesn't have delta calculations for stochastic volatility/jump-diffusion/etc models, so i'll have to do some calculations to see what the delta expressions for those models look like.
my guess is that none of these will allow for d>1 either, and doing so may require a model where price changes are a signal of an upcoming dividend payment or other jump process. |
#3
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Re: Option\'s delta
[ QUOTE ]
Could somebody explain to me how it is possible for my model to calculate a delta of 117 for a particular option? [/ QUOTE ] Which option are you looking at? |
#4
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Re: Option\'s delta
I don't remember the specific situation. I suspect it's actually a bug in the software since they can't offer me a decent explanation. I just wanted to know if anyone had experienced anything similar. Sorry that I can't answer your question. |
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