But looking at delta as the probability an option will finish in-the-money is a pretty nifty way to think about it.Gamma Gamma is the rate that delta will change based on a $1 change in the stock price. So if delta is the “speed” at which option prices change, you can think of...
Delta- Hedging Arbitrage, a Strategic Tool for Short-Term Gains, an Exploratory Study using NIFTY OptionsBlack-ScholesDelta HedgingVolatilityOption pricingIt is a universal practice to base one's fist estimate of option prices on the Black-Scholes model. One of the key inputs in the model is ...