AdvancedMultiple choice

The Black–Scholes PDE is $\Theta + \tfrac{1}{2}\sigma^2 S^2\Gamma + rS\Delta - rV = 0$ . What does it say about a delta-hedged option?

AThe option’s value is independent of the stock price once it is hedged
BIt earns the risk-free rate: theta pays for gamma
CDelta hedging makes theta zero, so the option no longer decays
DThe stock’s expected return must equal the option’s expected return

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Black–Scholes: what it says and what breaks it

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The Black–Scholes PDE is Θ+12σ2S2Γ+rSΔ−rV=0\Theta + \tfrac{1}{2}\sigma^2 S^2\Gamma + rS\Delta - rV = 0Θ+21​σ2S2Γ+rSΔ−rV=0. What does it say about a delta-hedged option?

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The Black–Scholes PDE is $\Theta + \tfrac{1}{2}\sigma^2 S^2\Gamma + rS\Delta - rV = 0$ . What does it say about a delta-hedged option?