Delta

The delta of a derivative is the rate of change in the price of a derivative with respect to price change in the underlying asset. In other words, it is the change in the price of a derivative from a one unit change in the price of the underlying security. The delta is not a fixed value. It depends on the price of the underlying security. The relationship between the two depends on the characteristics of both the derivative and the underlying. Delta is of crucial significance in hedging.

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