A note on the derivation of Black-Scholes hedge ratios

Tie Su

doi:10.1002/fut.10103

A note on the derivation of Black-Scholes hedge ratios

Tie Su

Finance

Research output: Contribution to journal › Article

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	https://doi.org/10.1002/fut.10103
State	Published - 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

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

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 journal › Article

Su, T 2003, 'A note on the derivation of Black-Scholes hedge ratios', Journal of Futures Markets, vol. 23, no. 11, pp. 1119-1122. https://doi.org/10.1002/fut.10103

Su T. A note on the derivation of Black-Scholes hedge ratios. Journal of Futures Markets. 2003 Nov 1;23(11):1119-1122. https://doi.org/10.1002/fut.10103

Su, Tie. / A note on the derivation of Black-Scholes hedge ratios. In: Journal of Futures Markets. 2003 ; Vol. 23, No. 11. pp. 1119-1122.

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Access to Document

10.1002/fut.10103