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

Rolf Poulsen
2007 Journal of Derivatives  
I demonstrate four little-known properties of the Black-Scholes option pricing formula: (1) An easy way to find delta. (2) A quaint relation between call-and put-prices. (3) Why vega-hedging though non-sensical will help. (4) What happens if you take vegahedging too far.
doi:10.3905/jod.2007.699047 fatcat:kmtj3o7q5zatba5xyeu4pv2pca