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A note on the Black–Scholes implied volatility with default risk

✍ Scribed by Shuichi Ohsaki; Takaaki Ozeki; Yuji Umezawa; Akira Yamazaki

Book ID: 115563836
Publisher: Wiley (John Wiley & Sons)
Year: 2010
Weight: 152 KB
Volume: 2
Category: Article
ISSN: 1759-6351
DOI: 10.1002/wilj.35

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## 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