Definition of Delta

Definition: Delta is used with respect to options: The rate of change of a financial derivative's price with respect to changes in the price of the underlying asset. Formally this is a partial derivative.

A derivative is perfectly delta-hedged if it is in a portfolio with a delta of zero. Financial firms make some effort to construct delta-hedged portfolios.

Terms related to Delta:

• The Delta Method
• The Gamma (of Options)
• Quasi-Differencing

Writing a Term Paper? Here are a few starting points for research on Delta:

Journal Articles on Delta:

• Delta-Hedged Gains and the Negative Market Volatility Risk Premium
• Optimal delta-hedging under transactions costs
• An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques