In
finance, delta is the rate of change of an
options price with respect to a small change in the price of the
underlying instrument.
Mathematically, the first
derivative of the function describing the price of the underlying instrument.
Delta is of interest since, by precisely calculating it, it is possbile for a
trader to assume a
riskless position; that is, a position in a security and a
derivative instrument structured so the aggregate value will not change.
This is also called a
hedged position; it is said the trader is
hedged against risk.