## 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
✦ LIBER ✦
A note on Wick products and the fractional Black-Scholes model
✍ Scribed by Tomas Björk; Henrik Hult
- Book ID
- 106235638
- Publisher
- Springer-Verlag
- Year
- 2005
- Tongue
- English
- Weight
- 168 KB
- Volume
- 9
- Category
- Article
- ISSN
- 0949-2984
No coin nor oath required. For personal study only.
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