Mathematics

The Mathematics of Pandemics

How we respond to infectious dieases is probably more important than the diease itself.

Option Sensitivities, Formula Proofs, and Python Scripts: Part 1 (Delta)

The following is an general overview of vanilla options partial sensitivities (option greeks). This series will be a continuation of the project Option Payoffs, Black-Scholes, and the Greeks. We've already outlined the necessary terms for understanding Options and the Greeks here. In this post, I will be covering the first greek: Detla ($\Delta$). The delta of an option, $\Delta$, is defined as the rate of change of the option price respected to the rate of change of the underlying asset price: