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A note on the derivation of Black‐Scholes hedge ratios

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  • Tie Su

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. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1119–1122, 2003

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  • Tie Su, 2003. "A note on the derivation of Black‐Scholes hedge ratios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1119-1122, November.
    • Handle: RePEc:wly:jfutmk:v:23:y:2003:i:11:p:1119-1122
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