A dynamic hedging strategy of a short position on a call.
We consider the problem of hedging a short position on a European calls contract on a Share matured T, strike K. The contract is assumed to consist of a n number of calls, so that each is associated with exactly one share. In all the following it is assumed to take into account the transaction costs. The mathematical modelling and the simulations of PnLs are based on the Black and Scholes model.