All apps
Digital option — details
About this app
Why digitals are almost unhedgeable: the delta is not a hump but a spike at the strike that grows ever taller and narrower as T → 0 (pin risk). The call-spread replication (two vanillas) has a bounded delta instead — the contrast is the aha. Debunks “you hedge a digital with its delta”.
Subject: Financial derivatives
More from Financial derivatives
- Asian option — details
- Asian option — concept
- Exercise styles — details
- Exercise styles — concept
- Binomial tree — details
- Binomial tree — concept
- Cap / floor / collar — concept
- Credit default swap — details
A VisuApp by heyprof: interactive, free in your browser, no sign-up. What is a VisuApp? · All apps