delta
as defined in Directive 2006/49/EC of the European Parliament and of the Council of 14 June…, 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;
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Also defined in
- Council Directive 93/6/EEC of 15 March 1993 on the capital adequacy of investments firms and credit institutions 31993L0006, 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