medium · FRM Part 1 Valuation and Risk Models
Which of the following best describes 'Delta' (Δ) in the context of the binomial option pricing model?
- The cash amount borrowed to help finance the replicating option position.
- The number of units of the underlying asset held in the replicating portfolio.
- The rate at which the risk-neutral probability itself changes as time passes.
- The probability, under the real-world measure, that the option finishes in the money.
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