delta
as defined in Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of…, Article 2, point (21)
the expected change in an option price as a proportion of a small change in the price of the instrument underlying the option
Install the extension for EUR-Lex
Also defined in
- Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of… 32006L0049, Article 3(1), point (q)
the expected change in an option price as a proportion of a small change in the price of the instrument underlying the option;