I was reading Dynamic Hedging by N. Taleb and in the chapter dedicated to the delta, there is this example of a trader position in options (one-month European call, flat yield curve, forward is equivalent to spot, spot price is 100 i guess) :
- He is long 1 million dollars of the 96 call (delta .824).
- He is short 1 million dollars of the 104 call (delta .198).
- His total continuous delta is long 624,000 dollars.
- He could hedge it by selling 624,000 dollars forward
Following by this table :
I didn't succeed to retrieve the same figure, I don't know if i missed something or we can't without the options prices.
