Has anyone seen the call option arbitrage (delta hedge) example for puts? Or seen a binomial model valuation for puts? I see the logic, I would just like to confirm my math… Cheers, T
Yes on both. I do not recall the exact formula changes for delta I think its just a reversal of the + and - but would have to look it up The binomial is the same though except for puts you subtract the put value from the calculated value at each node to arrive at the payoff rather than the other way around as with calls.