I am preparing stress scenarios for long Down In Puts (e.g -10%,-15% drop in underlying equity price). I assume that the maximum delta hedge is 300% for DIPs with barrier levels within 0%-5% additional price drop. There are several DIPs with different barrier levels and maturities. I want to adjust the notional amount so it takes into account the time to maturity (the longer the maturity the less delta before barrier). What is the appropriate methodology to asjust for time? Also what other factors should I take into account for the calculation of final P&L? Are there more appropriate methodologies for DIPs stress scenarios?



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