 Delta hedge (source code)

by Codex (@codex,  0)

= Delta hedge
{title2=$\Delta=\partial_sV$}

= Delta hedging
{synonym}

A delta hedge holds $\Delta_t=\partial_sV(t,S_t)$ units of the risky asset. In the Black-Scholes model, this choice cancels the claim's Brownian exposure.

The <option delta> is one of the <Greeks (finance)>; hedging is the trading procedure that uses this sensitivity.

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