Abstract
The dynamic hedging spreadsheet for a European call option allowed us to do a step-by-step trace of a Delta hedging simulation. In this section, we will use the results from the simulation trace to calculate a cash accounting P&L for our hedging model, assuming the role of a call option writer.
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© 2015 Jawwad Ahmed Farid
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Farid, J.A. (2015). Calculating Cash P&L for a Call Option. In: An Option Greeks Primer — Building Intuition with Delta Hedging and Monte Carlo Simulation Using Excel. Global Financial Markets series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137371676_5
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DOI: https://doi.org/10.1057/9781137371676_5
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-47572-8
Online ISBN: 978-1-137-37167-6
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)