Download This PaperFour Things You Might Not Know about the Black-Scholes Formula
11 Pages Posted: 5 Jun 2007
Date Written: June 6, 2007
Abstract
An easy way to find delta. A quaint relation between call- and put-prices. Why vega-hedging though non-sensical will help. Unless you take it too far.
Keywords: Option pricing, Black-Scholes formula, delta, vega-hedging, put-call-duality
JEL Classification: G13
Suggested Citation: Suggested Citation
Poulsen, Rolf, Four Things You Might Not Know about the Black-Scholes Formula (June 6, 2007). Available at SSRN: https://ssrn.com/abstract=991344 or http://dx.doi.org/10.2139/ssrn.991344
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.