Greeks: Delta

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Joined: Thu Aug 02, 2012 11:55 am

Greeks: Delta

Postby ameyakukde » Sat Mar 09, 2013 11:44 am

I was reading but Greeks when this caught my attention:
When the stock price increases, one should buy more stocks to make the portfolio delta neutral. In case it decreases, one should sell stocks. My idea is when the stock price increases the portfolio has more number of stocks than they were before (this could be one way of thinking), so the delta of portfolio increases when the stock price increases. Why should one buy more stocks if delta is increasing. Ideally, since the stocks have a delta>0, one should be shorting them to achieve delta neutrality. What am I missing? An intuitive explanation rather than an explanation via an excel Model is appreciated.

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Greeks: Delta

Postby content.pristine » Tue Mar 12, 2013 10:18 am

Dear Ameya,

I think they must have explained this with a out option. How delta hedging is done.
Please give me the source so I can check this out.

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