DELTA-HEDGING of a Stock Option Portfolio in PYTHON
In this video we’ll see how to properly delta-hedge a simple call/put option portfolio using Python.
Link to previous video: • Option GREEKS Calculation in PYTHON
From Wikipedia: In finance, delta neutral describes a portfolio of related financial securities, in which the portfolio value remains unchanged when small changes occur in the value of the underlying security. Such a portfolio typically contains options and their corresponding underlying securities such that positive and negative delta components offset, resulting in the portfolio's value being relatively insensitive to changes in the value of the underlying security.
00:00 - Recap previous video
00:56 - Delta-Hedging function
04:54 - Testing the function