When implementing a Black-Scholes delta-neutral portfolio using Python to perform delta hedging, I am not sure whether I implemented it correctly or not.
Unlike coding binomial trees for European call option, we can compare Black-Scholes analytical pricing formula with the price given by binomial tree model. If they have small difference, it means that we have coded the tree correctly. Otherwise, it is not correct.
Is there any way we can use to check my delta hedging is implemented correctly?
The portfolio I am considering here is to hedge a short position of a European call option. So, the portfolio consists of longing delta shares of stock and shorting a call option.
Based on my limited knowledge, the only and naive way to check my delta hedging is on track is that through Black-Scholes European price, we know that the portfolio is upper bounded by strike price of the option.
However, other than this, I do not know what else to check.