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BSM replication with expiry delta

Assuming you shorted an OTM call and the spot hits strike price $K$, you would go long on delta-times-stock. If the spot continues fluctuating above the strike, you are exposed to the delta and the ...
KaiSqDist's user avatar
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Delta hedge swaption straddle

Agree with answer above - delta is roughly 0 ATMF. But it is model dependant. As the 2y10y fwd moves, your straddle will accrue delta (new delta = old delta + gamma * curve move). so as you accrue ...
user68819's user avatar
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