Delta Hedging Risk Limited（δ风险对冲有限）.pdf

All information contained within this document is confidential and proprietary to Risk Limited Corporation Delta Hedging Theory Application ____________________________________________________ ____________________________________________________ ____________________________________________________ RISK LIMITED CORPORATION …innovation expertise Copyright 2008 Background on Fundamentals All information contained within this document is confidential and proprietary to Risk Limited Corporation What is Delta? • Before considering Delta Hedging, let’s first review Delta • Definition: In options trading, Delta is the measure of how the value of an option changes with respect to changes in the value of the underlying contract • Typically noted by the Greek letter: ∆ ____________________________________________________ ____________________________________________________ ____________________________________________________ RISK LIMITED CORPORATION …innovation expertise Copyright 2008 1 All information contained within this document is confidential and proprietary to Risk Limited Corporation What is Delta? • Delta (in absolute value, ignoring negative sign) can also be taken as an approximation of the probability that the option will finish in-the-money ____________________________________________________ ____________________________________________________ ____________________________________________________ RISK LIMITED CORPORATION …innovation expertise Copyright 2008 2 All information containe