Sample Question #132 (finance – options)
What’s the delta of an option, and how do you calculate it?
An option’s delta is the ratio of price change of the option to the price change of the underlying asset. (In fact, the concept of delta applies to other derivatives as well as to portfolios as well.) Only European options have closed-form solutions to finding their delta values. To calculate the delta of any other option, a numerical approximation method, such as Monte Carlo simulation or numerical differential equation, must be used.
Fill in your details below or click an icon to log in:
You are commenting using your WordPress.com account. ( Log Out / Change )
You are commenting using your Twitter account. ( Log Out / Change )
You are commenting using your Facebook account. ( Log Out / Change )
You are commenting using your Google+ account. ( Log Out / Change )
Connecting to %s
Notify me of new comments via email.
Notify me of new posts via email.