Chapter

Parity Relations and Delta Hedging

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print September 1998 | ISBN: 9780198775188
Published online November 2003 | e-ISBN: 9780191595981 | DOI: http://dx.doi.org/10.1093/0198775180.003.0008
 Parity Relations and Delta Hedging

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In this chapter, we derive the put‐call parity relation and its generalizations. We then discuss delta hedging and “the greeks” in some detail.

Keywords: delta hedging; put‐call parity

Chapter.  3779 words.  Illustrated.

Subjects: Financial Markets

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