- Joined
- 6/9/08
- Messages
- 2
- Points
- 11
Hi, I have one really short question
For S fixed and given, evaluate
lim(from t to T) of N(d1)
Where N(x) is the normal distribution function
d1=(ln(s/x)+(r+0.5sigma^2)(T-t))/(sigma*(T-t)^0.5)
sigma is the standard deviation (volatility of the portfolio)
s= stock price
x= strike price
r=interest rate
Thank you so much
Also, is this limit have anything to do with the delta hedging of call price? dC/dS=N(d1)
Does it have anything to do with delta hedging and transaction cost?
Thanks again
For S fixed and given, evaluate
lim(from t to T) of N(d1)
Where N(x) is the normal distribution function
d1=(ln(s/x)+(r+0.5sigma^2)(T-t))/(sigma*(T-t)^0.5)
sigma is the standard deviation (volatility of the portfolio)
s= stock price
x= strike price
r=interest rate
Thank you so much
Also, is this limit have anything to do with the delta hedging of call price? dC/dS=N(d1)
Does it have anything to do with delta hedging and transaction cost?
Thanks again