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Derivatives




Option Elasticity


The sensitivity of an option price to the change in its underlying asset price. Differently stated, it is the change in an option price given a 1% change in the price of its underlying asset. The extent of the option price change is likely much wider for near-in-the-money-options than for deep-in-the-money or deep-out-of-the-money options.

This elasticity is also known as delta of an option.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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