Ah thx, I was really wondering about my lil math skills;). Anyway, your notebook and reference to this (very new for mw) method of images is greatly appreciated.

I seem to miss something, say $V=\left(\frac{S}{B}\right)^\beta$, then $\mathrm{d}V / \mathrm{d}S = \beta S^{\beta - 1} / B^\beta$.

Just a very brief follow up question on the posted code. Within the function payAtHitRebate() there's a line computing the derivative of the perpetual binary with: value / spot * (beta != 0.0). Why actually multiply by 1 if beta unequal to 0 instead of just multiplying with beta?

A lil late thank you for this, I really appreciate!

Thx, if you find the time for a proper answer I can accept it.

I see but my crucial question is about how to compute the $\Delta_t$ for delta hedging. Browsing the web reveals many sources (such as the linked paper above) which use $\partial C/\partial S$ and claim self-financing. I may miss something here.

Thx for the link. To clarify, say, if I were to do a delta hedging simulation and therefore would have to compute the amount of the underlying to sell or buy on some discrete points using only $\Delta_t$ = $∂C∂S$, in general, I would obtain delta neutrality but not a self financed or locally risk free position? Wouldn't it be more correct then to use $\Delta_t^1$?

True, I should have been more specific. My question is about the second one (the sensitivity of the ETC price wrt the future price).

I think you are talking about real life. This doesn't just apply to commidities? However, my question was only about the analytical solution derived in a Black Scholes like setting, where we assume a flat vol. Maybe I'm missing something here?

Thx again, that was my intuition (see below the edit of my qestion).