Deriving the first partial derivatives of the Black-Scholes call price equation
Material presented here will be used to discuss hedging strategies to simultaneously hedge an options portfolio against various exposures.
The call option price:
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The partial derivatives of d1 and d2:
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Partial differentiating c with respect to each variable:
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And we're done for today. Easy, no?
The call option price:
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The partial derivatives of d1 and d2:
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Partial differentiating c with respect to each variable:
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And we're done for today. Easy, no?
Labels: applied mathematics, finance, mathematics
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