Abstract
An option hedge ratio is the sensitivity of an option price with respect to price changes in the underlying stock. It measures the number of shares of stocks to hedge an option position. This article presents a simple derivation of the hedge ratios under the Black-Scholes option-pricing framework. The proof is succinct and easy to follow.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1119-1122 |
| Number of pages | 4 |
| Journal | Journal of Futures Markets |
| Volume | 23 |
| Issue number | 11 |
| DOIs | |
| State | Published - Nov 1 2003 |
ASJC Scopus subject areas
- Accounting
- Business, Management and Accounting(all)
- Finance
- Economics and Econometrics
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Cite this
Su, T. (2003). A note on the derivation of Black-Scholes hedge ratios. Journal of Futures Markets, 23(11), 1119-1122. https://doi.org/10.1002/fut.10103