delta hedged

See delta neutral. Dresdner Kleinwort Wasserstein financial glossary

Financial and business terms. 2012.

Look at other dictionaries:

  • Delta neutral — In finance, delta neutral describes a portfolio of related financial securities, in which the portfolio value remains unchanged due to small changes in the value of the underlying security. Such a portfolio typically contains options and their… …   Wikipedia

  • delta neutral — Describes value of a portfolio not affected by changes in the value of the asset on which the options are written. Bloomberg Financial Dictionary The term used to describe the situation where the net delta of a portfolio of options and futures is …   Financial and business terms

  • Delta Hedging — An options strategy that aims to reduce (hedge) the risk associated with price movements in the underlying asset by offsetting long and short positions. For example, a long call position may be delta hedged by shorting the underlying stock. This… …   Investment dictionary

  • delta neutral hedging — An option is delta hedged if an offsetting position has been taken in the underlying asset in proportion to the option s delta, creating, at that moment in time, a position that is immune to small changes in market direction. LIFFE …   Financial and business terms

  • Delta One — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • Hedge ratio (delta) — The ratio of volatility of the portfolio to be hedged and the return of the volatility of the hedging instrument. The New York Times Financial Glossary …   Financial and business terms

  • Collateralized debt obligation — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European …   Wikipedia

  • Greeks (finance) — The Greeks redirects here. For the ethnic group, see Greeks. In mathematical finance, the Greeks are the quantities representing the sensitivities of the price of derivatives such as options to a change in underlying parameters on which the value …   Wikipedia

  • Hedge (finance) — For other uses, see Hedge (disambiguation). Finance Financial markets …   Wikipedia

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