Chapter 05 · Section 5.1

Delta Hedge

With a Delta Hedge: the exercise price chosen is of little importance, the level of protection obtained depends on how well the delta factor has been calculated.

                   Fixed hedge            Delta hedge 

                  At one-to-one           An amount weighted by 
Covers            relationship            the delta factor    

Protection        Depending on exercise   Depending on low 
                  price chosen            delta was calculated