Interview Question: One Greek

Sample Question #132 (finance – options)

What’s the delta of an option, and how do you calculate it?

This entry was posted in Sample Qs. Bookmark the permalink.

One Response to Interview Question: One Greek

  1. Brett says:

    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.

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )


Connecting to %s