Four Things You Might Not Know about the Black-Scholes Formula

11 Pages Posted: 5 Jun 2007

See all articles by Rolf Poulsen

Rolf Poulsen

University of Copenhagen - Department of Statistics and Operations Research

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

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

Rolf Poulsen (Contact Author)

University of Copenhagen - Department of Statistics and Operations Research ( email )

Universitetsparken 5
DK-2100
Denmark
+45 (353) 20685 (Phone)

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