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Stochastic Models and Processes · 13. novembre 2023
In the Black-Scholes formula, Δ is the option delta, showing the price change of a call option for a $1 change in the stock price. Δ equals N(d1), where N is the cumulative normal distribution function, and d1 factors in the stock price, strike price, time to expiration, risk-free rate, and volatility.
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