A note on the derivation of Black-Scholes hedge ratios

Tie Su

Research output: Contribution to journalArticlepeer-review


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
Issue number11
StatePublished - Nov 1 2003

ASJC Scopus subject areas

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


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