Delta

From Open Risk Manual

Definition

Delta. First derivative of option value with respect to theoretical price is a delta (or on a position). Theoretical price

Delta tells you what options to buy to get the equivalent price sensitivity to the underlying. How many at that price to get that hedge. So for example an at the money option has a delta of 50. Units

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This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.

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