I understand that it is the partial derivative of option price with respect to strike. What is it used for though? What does your dual delta signify?

  • $\begingroup$ Well, let's see. In the BSM model the Dual Delta of a Call is $e^{-rT}N(d_2)$. Look familiar? $\endgroup$ – noob2 Apr 20 '17 at 2:14
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    $\begingroup$ I would say it is the price of an Arrow Debreu security that pays 1 USD at time T if the Call is in the money and 0 otherwise. $\endgroup$ – noob2 Apr 20 '17 at 2:22

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