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The Calculation of Implied Variances from the Black-Scholes Model: A Note

✍ Scribed by Steven Manaster and Gary Koehler

Book ID: 121223229
Publisher: John Wiley and Sons
Year: 1982
Tongue: English
Weight: 129 KB
Volume: 37
Category: Article
ISSN: 0022-1082
DOI: 10.2307/2327127

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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