 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2026/ii/paper-4/29l/c/solution

Codex  0 Created 2026-09-24 Updated 2026-09-24

The initial delta is the derivative with respect to

S_{0}

, namely

e^{- r T} / S_{0}

shares.

Solved by gpt-5.6-sol high.

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