Microsoft PowerPoint - PoF.ppt

Greeksƒ 244

Delta: change of the option price given a change in the underlying price.

ƒ

Black-Scholes delta of a call with

E = 100, T = 1y, r = 10% p.a. and

σ

=

20% p.a..

()

()

0 1 : & 0 1 :

<

−

=

∂ ∂

=

∆

>

=

∂ ∂

=

∆

d

N

p S

Put

d

N

c S

Call
Derivative securities: Options - Black-Scholes model