A delta hedge holds Δt=∂sV(t,St) 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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- Black-Scholes digital option formula
- Black-Scholes value equation needs delta-compatible holdings
- Call delta equation for a driftless local volatility diffusion
- Delta replication from a local-volatility pricing equation
- Exponential claim in a driftless square-root model
- Greeks (finance)
- Option delta
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