13.9 Delta for futures From Chapter 3, we have F=S where T is the maturity of futures contract Thus, the delta of a futures contract is aF a(")T e as aS So, if Ha is the required position in the asset for delta hedging and he is the required position in futures for the same delta hedging H H rt* H Options, Futures, and Other Derivatives, 4th edition@ 2000 by John C. Hull Tang Yincai, C 2003, Shanghai Normal UniversityOptions, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2003, Shanghai Normal University 13.9 Delta for Futures • From Chapter 3, we have where T* is the maturity of futures contract • Thus, the delta of a futures contract is • So, if HA is the required position in the asset for delta hedging and HF is the required position in futures for the same delta hedging, * 0 0 e rT F = S * * e ( e ) rT rT S S S F =   =   A r T HF r T HA H * * e e 1 − = = •