Definition of Delta

Definition:

Delta is used with respect to options: The rate of change of a financial derivative's price with respect to changes in the price of the underlying asset. Formally this is a partial derivative.

A derivative is perfectly delta-hedged if it is in a portfolio with a delta of zero. Financial firms make some effort to construct delta-hedged portfolios.

Terms related to Delta:

  • The Delta Method
  • The Gamma (of Options)
  • Quasi-Differencing
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Journal Articles on Delta: