Delta Hedging 14.6 This involves maintaining a delta neutral portfolio The delta of a european call on a stock paying dividends at rate q is n(d de-q4 The delta of a european put is eq[N(d1)-1] Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 14.6 Delta Hedging • This involves maintaining a delta neutral portfolio • The delta of a European call on a stock paying dividends at rate q is N (d 1 )e – qT • The delta of a European put is e – qT [N (d 1 ) – 1]