Black-Scholes Model and Profit and Loss Attribution of Options
John Gupta-She

In this paper, we will provide a reformulation of the Black-Scholes formula. Under the Black-Scholes assumptions, the gain and loss from the delta hedge is the change in the value of the option. In practice, the identity will serve as a theoretical foundation of the profit and loss attribution of the option throughout the life of the trade.

Full Text: PDF     DOI: 10.15640/arms.v10n2a1