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Hopefully this is marginally helpful. The delta is simply the ratio of the Malliavin derivatives. By chain rule, $$\mathscr{D}_t C_t = {\partial C_t \over \partial R_t } \mathscr{D}_t R_t$$ Thus $$ \Delta_t = {\mathscr{D}_t C_t \over \mathscr{D}_t R_t } $$ You should be golden if you can work out what those MDs are for whatever model you're in. ...



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