Warrant Price Sensitivities: Delta and Gamma
Interactive

Warrant Price Sensitivities: Delta and Gamma

Intuition Publishing
Updated Sep 24, 2020

Similar to options, the price of a warrant can be affected by the underlying variables, and this sensitivity is measured using the greeks. Here we look at the deltas for call and put warrants, and discuss delta hedging for warrants. We then define gamma, and outline the gamma formula for a warrant.

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