Delta-one: Difference between revisions

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*[[Hedging]]
*[[Hedging]]
*[[Delta]]
*[[Delta]]
*[[Template:Calculation agent dispute]].
*[[Template:Calculation agent dispute|Calculation agent dispute]].

Revision as of 13:33, 13 April 2017

Perfectly hedged; a delta of one. Refers to a hedging strategy where a counterparty providing derivative exposure to an underlier by buying that underlier. You only need to delta-hedge your net exposure to the underlier - if, for example, you have written a long and a short TRS on the same underlier in the same size, you are delta-one hedged without buying anything - the two positions net each other off, and therefore hedge each other, exactly.

See also