1. Hedging with Black and scholes Analytical Finance I Ellen Bjarnadóttir, Helga Daníelsdóttir and Koorosh Feizi

2. Introduction Our assignment Tools used to solve the problem Monta Carlo simulation Geometric Brownian motion (GBM) Black-Scholes model Delta hedge

3. Monte Carlo simulation Model that gives you possible result using random variables Calculating probabilty of random outcomes

4. Black and Scholes

5. Geometric Brownian Motion

6. Delta Hedge Changes in option price with respect to underlying stock price Reduces risk

7. Methodology Specify a model GBM Black & Scholes Parameters S, K, r, σ, T Generate random trials Process the output/results Stock Price - 102 Call Price – 15,07 Portfolio Value - 62.831 Rebalance – 9 times

8. Stock Price at maturity

9. Conclusion Summary Interpretation of our result Improvements