Delta hedging: related pages
Black-Scholes The most widely used method of option valuation. More complex models are sometimes necessary as it uses a number of simplifying assumptions.
Delta The delta of a derivative is the rate of change in the price of a derivative with the price of the underlying.
Gamma The rate of change of a derivative's delta with the price of the underlying. Approximately, the change in the delta from a one unit change in the price.
Gamma hedging A hedge constructed using both the delta and gamma of a portfolio. A gamma hedge needs less frequent re-balancing than a delta hedge.
Hedge A financial strategy that reduces the risks from one security or other investment by buying or selling others.
Option writer A person who creates an option by selling an option to a buyer.
Put-call parity A relationship between the price of European call and put options on the same underlying, the underlying security, and the risk free rate.
Copyright Graeme Pietersz © 2005-2019
