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dave_s

12/28/02 8:53 PM

#59674 RE: Zeev Hed #59658

Here are links to defintions if it helps:

http://www.anz.com/edna/dictionary.asp?action=content&content=delta-neutral

http://www.anz.com/edna/dictionary.asp?action=content&content=delta_hedging

Basically, trying to match first derivative with respect to price change over some price interval.