Financial Innovation, Structuring and Risk Transfer

Paolo Vanini
2012 Social Science Research Network  
Contents 8 References 467 1.1. MARKET STRUCTURE AND EFFICIENCY 6 The first order option price C(S) sensitivity w.r.t. to the underlying S (Holcim) is given by ∂C ∂S =: ∆. 7 The Delta is the first order derivative of a position. The derivative of the stock S w.r.t. S is 1. 8 ∂C ∂σ =: Vega.
doi:10.2139/ssrn.2121268 fatcat:fqk4typnebgxzb3hf7niyvuira