Freaks City

This simulation explores delta hedging costs under the assumption of constant volatility, drawing from a financial engineering report on OTC options hedging strategies. The total cost of hedging is comprised of three main components: Dynamic Delta Hedging P&L: This arises from managing futures positions. When delta increases, futures are b ...

During a recent internship in the OTC derivatives department of a securities firm, I worked on a project involving delta dynamic hedging for pricing vanilla options. Referencing John Hull's Options, Futures, and Other Derivatives, which covers delta hedging, I used Python to replicate the book's examples. To hedge the risk of a sold call optio ...