The option delta (equivalently, hedge ratio) is the slope of the option pricing curve as a function

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The option delta (equivalently, hedge ratio) is the slope of the option pricing curve as a function of the price of the underlying asset. Deltas are near zero for deep out-of-the-money call options and approach 1.0 for deep in-the-money calls. p-69

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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Question Posted: Jul 31, 2024 05:01 AM

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The option delta (equivalently, hedge ratio) is the slope of the option pricing curve as a function

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ISE Investments

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