How can I replicate a long put option on S&P 500 index? I believe the best way is to short delta shares and put the proceeds plus the value of the put in t bills but i am not getting the same P&L as from the long put position.
if someone can share an example to explain that it would be great.
replicate
? The CME already offers such a product. How much unlike the actual thing do you want your replicant to be?