Last Updated
：2025/12/04
correlation delta
Noun
uncountable
Japanese Meaning
マルチアセットオプションにおいて、基礎資産間の相関関係の変化に対する、デリバティブ価格の感応度を測定する指標。
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(finance) A measure of derivative price sensitivity with respect to changes in the correlation between the underlying assets in a multi-asset option.
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correlation delta
The risk manager recalculated the correlation delta after the volatility spike to ensure the multi-asset option remained properly hedged.
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The risk manager recalculated the correlation delta after the volatility spike to ensure the multi-asset option remained properly hedged.
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