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Callable FRN

January 30, 2022
Derivatives

Cobertura

January 30, 2022

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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.

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