Delta is the ratio between the variation in the Option's Value and the variation in the price of the Underlying asset. Delta measures how much the Option's Value varies in currency units when the price of the Underlying asset varies by one currency unit. Delta is used to determine the number of units of the Underlying asset to buy (for a Call option) or to sell (for a Put option) to duplicate the corresponding Option payout profile.

(See Chapter 24 Hybrid securities of the Vernimmen)

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