A delta-hedged position is one in which the
A)combined spot and derivatives positions have a delta of one.
B)spot position has a delta of zero.
C)derivatives position has a delta of zero.
D)combined spot and derivatives positions have a delta of zero.
E)combined spot and derivatives positions have a gamma of zero.

Question

Quizplus · Accepted Answer

A delta-hedged position is designed so that the combined delta of the spot and derivatives positions equals zero, neutralizing the portfolio's sensitivity to small changes in the price of the underlying asset.

A Delta-Hedged Position Is One in Which the