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hedge ratio |
Also found in: Acronyms | 0.13 sec. |
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Hedge ratio (delta) For options, ratio between the change in an option's theoretical value and the change in price of the underlying stock at a given point in time. For convertibles, percentage of a convertible bond representing the number of underlying common shares sold against the shares into which bonds are convertible. If a preferred is convertible into 2000 common shares, a 75% hedge ratio would be short (long) 1500 common for every 1000 preferred long (short). See: Delta.
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Notably, the flexibility provided by forward/option hybrids such as range options and participating forwards was not as critical as correctly measuring exposure and calibrating the right hedge ratios. After the Illinois auction, the hedge ratio and average price is likely to be higher for MWG. Topics covered include: defining and decomposing currency returns, foreign exchange research and choice of currency management styles, optimisation and hedge ratio, benchmark design and performance measurement, option pricing theory and dynamic hedging, emerging market currencies, liquidity, e-commerce and much more. |
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