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2answers
52 views

Deduce expected exposure profile from option/structure delta?

I am thinking about whether there exists a relationship between the delta of an option (or any structured derivative) and it's expected positive/negative exposure? An intuitive question would be ...
3
votes
1answer
130 views

Delta of an option derived from the binomial model

I have the following function $V=V(S,t)$, $V^- = V(vS,t+\delta t)$, $V^+ = V(uS, t +\delta t)$. The book proceeds to explain that if we use Taylor series expansion on the above we will confirm that $\...
2
votes
1answer
35 views

Deltas and CC Basis Swaps

How do I calculate the dollar impact of basis change for a portfolio of cross currency basis swaps which hedged loans/bonds? I am thinking it might have something to do with delta and tenors but I ...
3
votes
0answers
41 views

Intraday Value at Risk approximations

We use full valuation of derivatives portfolios using scenarios from historical data. For simple contracts, this is relatively fast. For contracts requiring monte carlo simulation, this becomes ...
2
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0answers
34 views

European call option delta and maximum principle

From comments, the maximum principle for parabolic PDE can be used to show that the European call option delta cannot be greater than 1. I am looking forward to such derivations.
2
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0answers
235 views

EUR/PLN and EUR/USD delta-term-vol surface quoting convension

does anyone know for sure what is the FX market convension to quote delta-term pairs for EUR/PLN, for EUR/USD. I know that for EUR/PLN it should be delta p.a forward, for EUR/USD it should be delta ...
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0answers
58 views

Interest Rate Risk - The Greeks

IR Delta and Gamma. Can someone please explain if my understanding is accurate as relates to a 2yr interest rate swap? You are considered to be long Delta in an interest rate swap if you are ...
1
vote
0answers
38 views

Is the European call option delta an increasing function of the spot?

In the Black-Scholes' setting, the delta hedge ratio of a European call option is given by $N(d_1)$, which is an increasing function of the underlying equity spot $S_0$. Does this property hold ...
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0answers
25 views

Use of cash delta vs forward delta and the mirror image rule

There has been no mention in this text of why this formula uses forward delta not cash delta. Why should have this been obvious to the reader? How can a put be delta neutral at 30%, what does this ...
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0answers
52 views

Delta of an option in two cases

Let C be the prime of a call in fi=unction of the price in term F, Strike K, volatilité $\sigma$ and maturity t: $C(F,K,\sigma,t,r) $ We assume that we know $\delta$ $\delta=\frac{\partial}{\...
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0answers
97 views

Delta Volatility Surface Usage to value the option

I always find myself in the unknown charted territory when it comes to non-Linear Instruments. I come across the scenario, How to value the option using Delta Vol surface? Example I have CME traded ...