Yi-Fan Guo

Individual Stock Versus Index: A Comparison of Black-Scholes Calibration and Delta Hedging on TSLA and SPY (2019–2022)

The Black–Scholes option pricing model assumes that the volatility of the underlying asset is constant, yet observed market option prices imply a volatility that changes with the strike price. This study investigates whether adjusting the volatility input to match market prices improves option pricing and delta hedging...