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The Delte of an option is defined as expected change in the option premium for a small change in time to expiration expected change in

The Delte of an option is defined as expected change in the option premium for a small change in time to expiration expected change in the option premium for a small change in volatility expected change in the option premium for a small change in the spot rate. expected change in the option premium for a small change in the domestic interest rate

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