Issue |
SHS Web Conf.
Volume 218, 2025
2025 2nd International Conference on Development of Digital Economy (ICDDE 2025)
|
|
---|---|---|
Article Number | 02024 | |
Number of page(s) | 14 | |
Section | Finance Tech Advances: Impacts and Innovations | |
DOI | https://doi.org/10.1051/shsconf/202521802024 | |
Published online | 03 July 2025 |
An option pricing model focus on spread based on the stock price of Eli Lilly and Novo Nordisk
School of Life Science and Engineering, Southwest Jiaotong University, 611756, Chengdu, China
* Corresponding author: isabellaqian888@gmail.com
Nowadays, the competition between Eli Lilly and Novo Nordisk is the epitome of the “two-man battle” in the global diet drug and diabetes treatment market. In this study, a European call spread option was designed to accurately capture the competitive dynamics between Eli Lilly and Company (LLY) and Novo Nordisk (NVO) in the GLP-1 diet drug market. By extending the Black-Scholes model and using Monte Carlo simulation, this paper quantifies the impact of spread volatility and correlation on the option value. The empirical results show that the model has flexible hedging and speculation functions in the high-volatility environment of the pharmaceutical industry, but it still needs to combine market expectations to deal with tail risks such as drug safety crises. At the same time, the model optimizes the calculation method of price spread and provides flexible hedging and speculation tools for investors. However, there are still limitations such as the failure to fully predict the disruptive changes of the market and the fact that the historical data may not fully reflect the future market trend.
© The Authors, published by EDP Sciences, 2025
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.