Delta cross-hedge(redirected from Delta Cross Hedges)
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.
An investment strategy that involves taking a position on a call and a put on the same underlying asset. Because the price movements of the two options are closely correlated, a negative movement on the call should be offset by a positive movement on the put and vice versa. A delta cross-hedge should create a delta neutral position.
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