Option Pricing and Risk Hedging in Current Financial Market: A Case for Pfizer

Hang Zhang

2022

Abstract

The research background of this paper is that in stock option trading, the risk is weakened, and the profit level is improved by means of hedging. This paper discusses and analyzes the differences in the hedging results of stock options of the same company based on different option pricing models. The data adopts the stock option trading data of Pfizer, and uses the historical data model, BS (black-Scholes) model, and BT (Binomial Tree) model to construct an option pricing model and calibrate it, and finally perform delta hedging. The results show that the historical data model shows the best results in the final hedging, the hedging results of the BS model are in the middle level, while the hedging results of the BT model are not satisfactory in this study. This research appears in stock option trading, and the investment behavior of single company stock option as the target weakens the comprehensive risk and improves the comprehensive profit level.

Paper Citation

in Harvard Style

Zhang H. (2022). Option Pricing and Risk Hedging in Current Financial Market: A Case for Pfizer. In Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME; ISBN 978-989-758-636-1, SciTePress, pages 381-386. DOI: 10.5220/0012033400003620

in Bibtex Style

@conference{icemme22,
author={Hang Zhang},
title={Option Pricing and Risk Hedging in Current Financial Market: A Case for Pfizer},
booktitle={Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME},
year={2022},
pages={381-386},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0012033400003620},
isbn={978-989-758-636-1},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME
TI - Option Pricing and Risk Hedging in Current Financial Market: A Case for Pfizer
SN - 978-989-758-636-1
AU - Zhang H.
PY - 2022
SP - 381
EP - 386
DO - 10.5220/0012033400003620
PB - SciTePress