Finance
Callable FRN
January 30, 2022
Derivatives
Cobertura
January 30, 2022

The option price sensitivity to a change in the price of its underlying. It represents the change in the price of an option (option price or premium) in response to every one-point change in the underlying. Mathematically, it is the first partial derivative of the option price with respect to the price of its underlying.

The neutral hedge ration is also called a hedge ratio or delta.

Leave a Reply

Your email address will not be published. Required fields are marked *

Related Posts