Four Things You Might Not Know about the Black-Scholes Formula
11 Pages Posted: 5 Jun 2007
Date Written: June 6, 2007
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