New answers tagged hedging
3
votes
Practically, are the prices of 0-strike European calls and stock identical?
The (call) price is undefined for $K=0$. You can only speak about the price as $K \downarrow 0$. Not the same thing as $\infty$ is not a number.
EDIT:
Following the question of @Kermittfrog, some more ...
- 5,097
3
votes
Practically, are the prices of 0-strike European calls and stock identical?
I do not think anyone actually trades this but in any case, it would follow standard pricing logics.
If you have a strike of truly 0, volatility does not matter anymore. The expected future value of ...
- 4,932
0
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Gamma smoothing of vanilla options
Gamma for vanilla options are always capped, the delta of an option can only move from 0 to 1, so these numbers are capped especially with the underlying having a minimum tick size in reality. If you’...
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