# A decent model to calculate hedges

Is there an option pricing model that wouldn't be too time consuming to set up in Python (for example) and that would provide better delta hedges than Black-Scholes? This would be mainly for equity options.

• What kind of equity options? Why are you dissatisfied with BS? What are your criteria for "better" delta hedges? – Dimitri Vulis May 10 at 1:46
• I trade options on the popular stocks. My main concern with BS is that it does not take into account the smile/skew, so any model that would take that into account I'm assuming is going to give a better/more stable hedge. – Alex May 10 at 2:00
• You can incorporate the skew in a simple ad hoc fashion by calculating the total derivative of the BS formula with respect ot the underlying, i.e. calculate $\frac{d O}{dS}=\frac{\partial O}{\partial S} + \frac{\partial O}{\partial \sigma}\frac{\partial \sigma}{\partial S}$, and you plug in some interpolation of the smile. – Kermittfrog May 10 at 6:13