A note on the derivation of Black-Scholes hedge ratios

Research output: Contribution to journalArticle

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 languageEnglish (US)
Pages (from-to)1119-1122
Number of pages4
JournalJournal of Futures Markets
Volume23
Issue number11
DOIs
StatePublished - Nov 1 2003

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Hedge ratio
Black-Scholes
Hedge
Option pricing
Price changes
Option prices

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

Cite this

A note on the derivation of Black-Scholes hedge ratios. / Su, Tie.

In: Journal of Futures Markets, Vol. 23, No. 11, 01.11.2003, p. 1119-1122.

Research output: Contribution to journalArticle

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