Delta > Delta of a portfolio△=∑w;△; >Delta neutral Delta hedge △=O∏/aS eq(T- PN(di) △n=e(-)(N(l)-1) 寶來瑞富期貨 期權交易策略實戰介紹期權交易策略實戰介紹 Delta ➢Delta of a portfolio Δ=Σwi Δi ➢Delta neutral ➢Delta hedge ( ( 1) 1) ( 1) / ( ) ( )  = −  =  =    − − − − e N d e N d S q T t p q T t c