 | This article is rated C-class on Wikipedia's content assessment scale. It is of interest to the following WikiProjects: | ||||||||||||||||||||
| |||||||||||||||||||||
Revert edits by User:Gerhard Schroeder
editI am reverting, for now, your edits because they seem to be largely based on your own scholarly work. Since these claims are somewhat out of the mainstream (use of Black-Scholes and related volatility-based pricing models are in fact extremely common in the financial markets), you should let someone else interpret your work and incorporate your findings into this page. Ronnotel 14:05, 9 January 2007 (UTC)
Equivalence
editUser:151.202.156.78 - I reverted your change because I think you may have not understood the derivation. Assume the delta on the IBM_Feb07_100.0_Call is 0.4. That means you must sell 40 shares of IBM to become delta neutral. Conversely, the IBM_Feb07_100.0_Put has a delta of -0.6 and you must buy 60 shares of IBM. Thus, you either sell shares when you have the call or buy shares when you have the put. Have a look at delta neutral Ronnotel 22:22, 2 February 2007 (UTC)
