Study of hedging parameters based on the entropy model of stock option pricing
Zhou Rong · Journal of Beijing University of Chemical Technology · 2009
On the basis of the entropy model of stock option pricing,the definitions and formulae of a series of hedging parameters are given following the Black-Scholes(BS)option pricing model,and the corresponding numerical simulation and analyses of the hedging parameters are compared with those obtained under the framework of the BS model of stock option pricing.The results show that the sensitivity degrees of the entropy model are larger than those of the BS model,and therefore provides a new method for the risk management of derivatives in an incomplete market.