TL;DR
The rate of change of option price with respect to underlying price: \( \Delta = \frac{\partial V}{\partial S} \). For a Black-Scholes call, \( \Delta = N(d_1) \in [0,1] \).
Delta (Greek)
The rate of change of option price with respect to underlying price: \( \Delta = \frac{\partial V}{\partial S} \). For a Black-Scholes call, \( \Delta = N(d_1) \in [0,1] \).
Why it matters for interviews
Delta is the primary hedging ratio -- the number of shares needed to hedge one option. Delta-hedging is the foundation of options market making. Interviewers expect candidates to derive and interpret all Greeks.
Definition and Mathematical Foundation
The rate of change of option price with respect to underlying price: \( \Delta = \frac{\partial V}{\partial S} \). For a Black-Scholes call, \( \Delta = N(d_1) \in [0,1] \).
Application in Quantitative Finance
Delta is the primary hedging ratio -- the number of shares needed to hedge one option. Delta-hedging is the foundation of options market making. Interviewers expect candidates to derive and interpret all Greeks.
Related Terms
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