- Hedge ratio (delta)
- Коэффициент хеджирования (дельта). Отношение нестабильности портфеля, который должен быть хеджирован, к доходу от нестабильности инструмента хеджирования . Инвестиционная деятельность .
Англо-русский экономический словарь.
Hedge ratio (delta)
Смотреть что такое "Hedge ratio (delta)" в других словарях:
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
hedge ratio — The relationship between the number of contracts required for a direct hedge and the number of contracts required to hedge in a specific situation. The concept of hedging is to match the size of a positive cash flow from a gaining futures… … Financial and business terms
Hedge-ratio — The proportion of underlying securities or options needed to hedge a written option. The hedge ratio is determined by the delta … International financial encyclopaedia
Delta — Delta measures how rapidly the value of an option moves in relation to the underlying value. It is the change in an option s price divided by the change in the price of the underlying instrument. An option whose price changes by $1 for every $2 … International financial encyclopaedia
delta — A measure of how much an option premium changes, given a unit change in the underlying futures price. Delta often is interpreted as the probability that the option will be in the money by expiration. Chicago Board of Trade glossary The… … Financial and business terms
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 — The ratio comparing the change in the price of the underlying asset to the corresponding change in the price of a derivative. Sometimes referred to as the hedge ratio. For example, with respect to call options, a delta of 0.7 means that for every … Investment dictionary
Delta — Also called the hedge ratio, the ratio of the change in price of a call option to the change in price of the underlying stock. The New York Times Financial Glossary * * * delta del‧ta [ˈdeltə] noun [countable usually singular] 1. STATISTICS a… … Financial and business terms
Hedge (finance) — For other uses, see Hedge (disambiguation). Finance Financial markets … Wikipedia
neutral hedge — hedge that is expected to yield a dollar neutral result of the combined position, regardless of price change in any part of the hedge securities. For any convertible trading at a premium, this ratio is less than 100%. The higher the convertible… … Financial and business terms
Коэффициент хеджирования — (HEDGE RATIO (или DELTA)) ожидаемое изменение стоимости опциона, отнесенное к изменению рыночной цены финансового актива, лежащего в его основе … Финансовый глоссарий
