delta hedging

См. также в других словарях:

• Delta-Hedging — Mit Delta Hedging bezeichnet man eine Absicherungsstragie, mit der man eine Optionsposition gegen Preisänderungen des Basiswertes absichert. Hierzu baut man eine Position im Basiswert auf, deren Wertänderungen bei Preisbewegung den Wertänderungen …   Deutsch Wikipedia

• Delta Hedging — An options strategy that aims to reduce (hedge) the risk associated with price movements in the underlying asset by offsetting long and short positions. For example, a long call position may be delta hedged by shorting the underlying stock. This… …   Investment dictionary

• Delta Hedging —    A method used by option writers to hedge risk by purchasing or selling the underlying instrument in the spot market in proportion to the delta of their options position. Effectively traders are trying to remain neutral in a particular market …   Financial and business terms

• Delta-Hedge — Delta Hedging ist eine Wertsicherungsstrategie beim Handel mit Optionen. Da die Kennzahl Delta in der Black Scholes Theorie die wertmäßgie Veränderung einer Option bei Änderung des Aktienkurses um eine Einheit angibt, kann mit Hilfe des Delta das …   Deutsch Wikipedia

• Delta neutral — In finance, delta neutral describes a portfolio of related financial securities, in which the portfolio value remains unchanged due to small changes in the value of the underlying security. Such a portfolio typically contains options and their… …   Wikipedia

• Hedging — Der Begriff Kurssicherung oder Hedgegeschäft (kurz Hedging; von engl. to hedge [hɛdʒ], „absichern“) bezeichnet ein Finanzgeschäft zur Absicherung einer Transaktion gegen Risiken wie beispielsweise Wechselkursschwankungen oder Veränderungen in den …   Deutsch Wikipedia

• delta neutral hedging — An option is delta hedged if an offsetting position has been taken in the underlying asset in proportion to the option s delta, creating, at that moment in time, a position that is immune to small changes in market direction. LIFFE …   Financial and business terms

• Delta hedge — A dynamic hedging strategy using options with continuous adjustment of the number of options used, as a function of the delta of the option. The New York Times Financial Glossary …   Financial and business terms

• delta hedge — A dynamic hedging strategy using options that calls for constant adjustment of the number of options used, as a function of the delta of the option. Bloomberg Financial Dictionary …   Financial and business terms

• Hedge ratio (delta) — The ratio of volatility of the portfolio to be hedged and the return of the volatility of the hedging instrument. The New York Times Financial Glossary …   Financial and business terms

• Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European …   Wikipedia