Derivative: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson (Add link.) |
imported>Doug Williamson (Explain link with Greek letters in option value analysis.) |
||
| Line 12: | Line 12: | ||
*The first derivative describes the slope of the function curve at a given point on the curve. | *The first derivative describes the slope of the function curve at a given point on the curve. | ||
*The second derivative describes the rate of change of the slope. In other words the degree of curvature, at a given point. | *The second derivative describes the rate of change of the slope. In other words the degree of curvature, at a given point. | ||
Most of the 'Greek letters' in options analysis are the first derivative of the option value, as the related value driver changes. | |||
| Line 17: | Line 20: | ||
* [[Delta]] | * [[Delta]] | ||
* [[Derivative instrument]] | * [[Derivative instrument]] | ||
* [[Differentiation]] | |||
* [[Embedded derivative]] | * [[Embedded derivative]] | ||
* [[Greeks]] | * [[Greeks]] | ||
Revision as of 06:55, 22 August 2017
1.
Abbreviation for derivative financial instrument.
2.
Maths.
A derivative function describes the rate of change of the underlying function, with respect to changes in one of the variables in the underlying function.
- The first derivative describes the slope of the function curve at a given point on the curve.
- The second derivative describes the rate of change of the slope. In other words the degree of curvature, at a given point.
Most of the 'Greek letters' in options analysis are the first derivative of the option value, as the related value driver changes.
