Thematische Bibliographien / Option hedging strategies

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Zeitschriftenartikel

Auswahl der wissenschaftlichen Literatur zum Thema „Option hedging strategies“

Autor: Grafiati

Veröffentlicht am 4. Juni 2021

Zuletzt aktualisiert am 1. Februar 2022

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Zeitschriftenartikel zum Thema "Option hedging strategies"

Hauser, Robert J., and James S. Eales. "Option Hedging Strategies." North Central Journal of Agricultural Economics 9, no. 1 (1987): 123. http://dx.doi.org/10.2307/1349348.

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Šoltés, Michal, and Monika Harčariková. "Gold price risk management through Nova 3 option strategy created by barrier options." Investment Management and Financial Innovations 13, no. 1 (2016): 49–0. http://dx.doi.org/10.21511/imfi.13(1).2016.04.

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The paper is focused on selected aspects of the hedging using of Nova 3 option strategy created by barrier options, which are appropriate tools widely used for risk management of high risk underlying assets. Financial risk management using option strategies is an effective solution for limiting the loss from underlying asset’s price development. The Nova 3 option strategy is suitable for hedging against increase in price of the underlying asset in case of its purchase in future. In our approach, European up and knock-in call options together with standard put and barrier put options are used for investigation of hedging strategies in increasing markets. Theoretical models of suitable hedged profit functions in analytical expressions are analyzed also from their benefits and risks point of view. Created combinations of these hedging variants have to meet the requirements of zero-cost option strategy. Based on the own theoretical results, the hedged profit portfolio is applied to SPDR Gold Shares, where due to the lack of data on real barrier option premiums, these were calculated according to Haug model. Designed secured variants through Nova 3 option strategy were analyzed and compared to each other with the recommendations of the best possibilities for investors

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Mynhardt, Ronald H. "The bond and bond option market: The case of South Africa 1984–2014." Corporate Ownership and Control 13, no. 1 (2015): 1309–21. http://dx.doi.org/10.22495/cocv13i1c11p4.

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Bond option transactions from a hedging perspective are currently almost non-existent in the South African bond and bond option market. As a result of comments and suggestions made by academics and independent observers a study was conducted in the South African bond options market amongst former and current bond option traders. The goals of the present study was to establish if bond options can be an effective hedging tool in the South African bond market, to conduct empirical tests on the basic option hedging strategies to ascertain these particular strategies’ suitability as hedges against investment risk by using actual market movements in the South African bond market, and to formulate recommendations that could be implemented to re-establish bond options as a viable hedging instruments in South Africa and also introduce it to Africa.

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ZAKAMOULINE, VALERI. "THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS." International Journal of Theoretical and Applied Finance 12, no. 06 (2009): 833–60. http://dx.doi.org/10.1142/s0219024909005488.

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Considerable theoretical work has been devoted to the problem of option pricing and hedging with transaction costs. A variety of methods have been suggested and are currently being used for dynamic hedging of options in the presence of transaction costs. However, very little was done on the subject of an empirical comparison of different methods for option hedging with transaction costs. In a few existing studies the different methods are compared by studying their empirical performances in hedging only a plain-vanilla short call option. The reader is tempted to assume that the ranking of the different methods for hedging any kind of option remains the same as that for a vanilla call. The main goal of this paper is to show that the ranking of the alternative hedging strategies depends crucially on the type of the option position being hedged and the risk preferences of the hedger. In addition, we present and implement a simple optimization method that, in some cases, improves considerably the performance of some hedging strategies.

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Bobriková, Martina. "Price risk management in the wheat market using option strategies." Ekonomika poljoprivrede 68, no. 2 (2021): 449–61. http://dx.doi.org/10.5937/ekopolj2102449b.

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Recently, the agricultural business is displayed a greater amount of risk because of price volatility growth. Consequently, it is necessary to have knowledge of how to regulate the risk of price fluctuations. This paper is concerned with the hedging techniques in the commodity market by the help of vanilla options. The main idea is to analyze option strategies with the ambition to demonstrate their utilization by hedging against increasing prices. Hedged buying price formulas are derived for every spot futures price. An additional contribution is considered for applying in the wheat trading. Chicago Mercantile Exchange products, i.e. wheat options on futures are investigated. The profitability of hedged scenarios is examined. A comparative analysis of the designed hedging variants is presented. Suggestions for potential wheat buyers are proposed.

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Harčariková, Monika. "Managing Price Risk in the Corn Market Using Option Strategies." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 66, no. 3 (2018): 767–79. http://dx.doi.org/10.11118/actaun201866030767.

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In today’s economy, the agricultural sector faces a high degree of risk due to increasing commodity price volatility. Therefore, it is important to know how to manage the price risk effectively. The main contribution of the paper is to introduce and analyse the ways of the managing price risk in the corn market using option strategies. The purpose of the paper is to analyse three hedging option strategies, i.e. Strap, Long Strangle and Short Put Ladder strategy with the aim to prove how it is possible to hedge against falling prices. There is examined analytical expressions of vanilla options for the creation of selected hedging strategies in the corn market with the presentation of their pros and cons. General expressions of the corn selling price intervals are derived from various hedged scenarios of all variants. Based on derived theoretical hedging variants, the contribution of the approach is considered for the application to the corn market, where the corn options on futures contracts are traded on the Chicago Board of Trade. Also, the evaluation of the sellers’ profitability is examined at the future trade date. Finally, a comparative analysis of the proposed hedging techniques with the various strike prices is displayed with the presentation of recommendations for potential corn sellers. The paper’s aim is to extend the previous research based on different hedging tools and it may be widened in the scientific and the commercial area.

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Jiménez-Gómez, Miguel, Natalia Acevedo-Prins, and Miguel David Rojas-López. "Simulation hedge investment portfolios through options portfolio." Indonesian Journal of Electrical Engineering and Computer Science 16, no. 2 (2019): 843. http://dx.doi.org/10.11591/ijeecs.v16.i2.pp843-847.

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<p>This paper presents two hedging strategies with financial options to mitigate the market risk associated with the future purchase of investment portfolios that exhibit the same behavior as Colombia's COLCAP stock index. The first strategy consists in the purchase of a Call plain vanilla option and the second strategy in the purchase of a Call option and the sale of a Call option. The second strategy corresponds to a portfolio of options called Bull Call Spread. To determine the benefits of hedging and the best strategy, the Geometric Brownian Motion and Monte Carlo simulation is used. The results show that the two hedging strategies manage to mitigate market risk and the best strategy is the first one despite the fact that the Bull Call Spread strategy is lower cost.</p>

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Dewobroto, Dimas, Erie Febrian, Aldrin Herwany, and Rayenda Khresna Br. "The Best Stock Hedging Among Option Strategies." Research Journal of Applied Sciences 5, no. 6 (2010): 397–403. http://dx.doi.org/10.3923/rjasci.2010.397.403.

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Grannan, E. R., and G. H. Swindle. "MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES." Mathematical Finance 6, no. 4 (1996): 341–64. http://dx.doi.org/10.1111/j.1467-9965.1996.tb00121.x.

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Jebli, Ali, Nabil Khoury, and Marko Savor. "CEO stock and option holdings as a determinant of option hedging by gold mining firms." Corporate Ownership and Control 5, no. 2 (2008): 400–408. http://dx.doi.org/10.22495/cocv5i2c4p1.

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This paper seeks primarily to analyze CEO holdings of stocks and options in their firm as a determinant of the decision to hedge and the intensity of hedging with option-like securities in the gold mining industry. The findings show that CEO holdings play an important role in the choice and intensity of the use of option-like hedging instruments. In addition, results also show that the intensity of option-like instrument use for hedging is diminished when the CEO is also the chairman of the board. This original finding provides additional insight into the decision making process in this context. Moreover, our results show that when non-hedgeable quantity risk and hedgeable price risk are highly correlated, gold mining firms resort to operational hedging strategies through their production flexibility. Finally, investment opportunities as well as the high correlation between production levels and gold prices seem to have a negative impact on the decision to use option-like hedging in the gold mining industry.

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