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Delta.
quyn chn mua = N(d1) [0 , 1]
V d, nu gi c phiu l $130, tng $4,0625, gi quyn chn s l $15,96, tng $2,41, khong 59% bin ng ca gi c phiu.
V vy, mc d delta l mt thc o rt quan trng v nhy cm ca quyn chn vi gi c phiu, n ch chnh xc khi gi c phiu thay i rt nh.
Gamma l phn thay i ca delta ng vi mt mc thay i rt nh trong gi c phiu. Cng thc ca gamma l:
2 d1 /2
S 0 2T