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A note on the derivation of global stress constraints

โœ Scribed by G. Y. Qiu; X. S. Li


Publisher
Springer-Verlag
Year
2009
Tongue
English
Weight
253 KB
Volume
40
Category
Article
ISSN
1615-1488

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A note on the derivation of Black-Schole
โœ Tie Su ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 59 KB ๐Ÿ‘ 2 views

## 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 Blackโ€Scholes optionโ€pricing