Delta Hedging / Gamma Scalping Simulation

Simulate delta hedging a short call option position and observe gamma scalping profits from rebalancing.

* Option Position

Short Call (Sell)Long Call (Buy)

* Initial Stock Price (S₀)

* Strike Price (K)

* Risk-Free Rate (%)

* Implied Vol (%)

* Realized Vol (%)

* Days to Expiry

* Stock Drift (μ %)

Day: 0 / 30