# Linked Questions

10 questions linked to/from Black Scholes differential
3answers
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### Derivation of BS PDE problem using Delta hedging

I've always been confused with Delta hedging. It is well-known that for a (smooth enough) function of $(S,t)$ we have, due to Ito's lemma, that: \begin{eqnarray*} dC = \left(\frac{\partial C}{\partial ...
2answers
849 views

### Dynamic Delta Hedging And a Self Financing Portfolio

Let's assume the usual Black Scholes assumptions hold. My question is related to an answer on this question. There, the weights ($\Delta_t^1$,$\Delta_t^2$) are derived which form a locally risk free ...
1answer
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### Replicating a portfolio with a certain payoff function

Assume there are two stocks $S_1$ with price $p_1(t)$ and $S_2$ with price $p_2(t)$ where $t$ indicates time. Assume, there is a hypothetical derivative $D$, which is such that, price of $D$ at a time ...
2answers
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1answer
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### Assumption in black scholes solution

Under the usual notations, In most textbooks on Quantative Finance, for deriving the Black-Scholes solution I find that authors, while setting up the riskless portfolio, assume that, \text{d} (\...
0answers
59 views

### Delta hedging and PF-value

Imagine buying a call option and shorting the delta. After some time $dt$, the stock price changes, and so does the delta and the call option value. We re-adjust our hedge using this new delta. ...