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Thematische Bibliographien / Option hedging strategies

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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"

1

Hauser, Robert J., und James S. Eales. „Option Hedging Strategies“. North Central Journal of Agricultural Economics 9, Nr. 1 (Januar 1987): 123. http://dx.doi.org/10.2307/1349348.

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Šoltés, Michal, und Monika Harčariková. „Gold price risk management through Nova 3 option strategy created by barrier options“. Investment Management and Financial Innovations 13, Nr. 1 (04.03.2016): 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, Nr. 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, Nr. 06 (September 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, Nr. 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, Nr. 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 und Miguel David Rojas-López. „Simulation hedge investment portfolios through options portfolio“. Indonesian Journal of Electrical Engineering and Computer Science 16, Nr. 2 (01.11.2019): 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 und Rayenda Khresna Br. „The Best Stock Hedging Among Option Strategies“. Research Journal of Applied Sciences 5, Nr. 6 (01.06.2010): 397–403. http://dx.doi.org/10.3923/rjasci.2010.397.403.

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9

Grannan, E. R., und G. H. Swindle. „MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES“. Mathematical Finance 6, Nr. 4 (Oktober 1996): 341–64. http://dx.doi.org/10.1111/j.1467-9965.1996.tb00121.x.

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Jebli, Ali, Nabil Khoury und Marko Savor. „CEO stock and option holdings as a determinant of option hedging by gold mining firms“. Corporate Ownership and Control 5, Nr. 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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Dissertationen zum Thema "Option hedging strategies"

1

Whalley, A. E. „Option pricing with transaction costs“. Thesis, University of Oxford, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.298265.

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Arabi, Alireza, und Maziar Saei. „Simple foreign currency option Hedge strategies A comparison of Option contracts versus Forward contracts“. Thesis, Mälardalens högskola, Akademin för hållbar samhälls- och teknikutveckling, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9977.

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The use of currency options has been grown widely during the latest years. This paper tries to answer whether hedge strategies using currency options are superior to forward exchange contracts or not.

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Heinzl, Thomas. „Dynamic hedging strategies and option pricing in bond market models with transaction costs /“. Bamberg, 2000. http://aleph.unisg.ch/hsgscan/hm00006553.pdf.

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Zackrisson, Ella. „Evaluation of Hedging Strategies of Asian Options on Electricity at Nord Pool“. Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-168437.

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This thesis empirically evaluates a geometric Brownian motion and a stochastic volatility model for modeling futures prices and hedging Asian call options on the electricity spot price. Estimation of parameters for the models is done based on historical futures prices of futures contracts with a one month delivery period using nonlinear regression and Maximum Likelihood techniques. The models are tested on 2014 data and tracking error for each model is presented. The tracking error is investigated through the median value, the spread between minimum and maximum value along with value at risk at a 95% level. In addition, a third model for modeling spot and futures prices is presented theoretically. It is an exponential additive model with the advantage that it models the future price process from the spot price, instead of modeling the future price process immediately. This bypasses the issue of no information about the future price process during the delivery period, when there is no prices of the futures contracts. The aim of this thesis is to compare the simpler geometric Brownian motion to the more complex stochastic volatility model. It is found that the stochastic volatility model performs better when tested on out-of-sample data. The geometric Brownian motion tends to underestimate the electricity prices, despite that 2014 had low pricest compared to the other years in the data sample. In addition, the approximation of the distribution of the future price process under the geometric Brownian motion model gave a bad fit and led to difficulties when estimating the parameters. The stochastic volatility model produced more stable results and gave a better fit for the distribution.

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Kaya, Orcun. „Static Hedging Strategies For Barrier Options And Their Robustness To Model Risk“. Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/2/12608763/index.pdf.

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With the rapid increase in the usage of barrier options on the OTC markets, pricing and especially hedging of these exotic instruments became an important field of research. This paper aims to explain, apply and compare current methods used for pricing and hedging barrier options with a simulation approach. An overview of most popular methods for pricing and hedging is presented in the first part, followed by application of these pricing methods and comparing the performances of different dynamic and static hedging techniques in Black-Scholes environment by simulation in the second part. In the third part different models such as ARCH type and Stochastic Volatility are used with different jump terms to relax the assumptions of the Black-Scholes and examine the effects of these incomplete models on both pricing and performance of different hedging techniques. In the fourth part diffusion models such as Constant Variance Elasticity, Heston Stochastic Volatility and Merton Jump Diffusion are used to complete the picture.

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Ménassé, Clément. „Pricing and hedging strategies in incomplete energy markets“. Thesis, Sorbonne Paris Cité, 2017. http://www.theses.fr/2017USPCC186.

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Cette thèse porte sur la valorisation et les stratégies financières de couverture des risques dans les marchés de l'énergie. Ces marchés présentent des particularités qui les distinguent des marchés financiers standards, notamment l'illiquidité et l'incomplétude. L'illiquidité se reflète par des coûts de transactions importants et des contraintes sur les volumes échangés. L'incomplétude est l'incapacité de pouvoir répliquer parfaitement des produits dérivés. Nous nous intéressons à différents aspects de l'incomplétude de marché. La première partie porte sur la valorisation dans les modèles de Lévy. Nous obtenons une formule approximative du prix d'indifférence et nous mesurons la prime minimale à apporter par rapport au modèle de Black-Scholes. La deuxième partie concerne la valorisation d'options spread en présence de corrélation stochastique. Les options spread portent sur la différence de prix entre deux sous-jacents -- par exemple gaz et électricité -- et sont très utilisées sur les marchés de l'énergie. Nous proposons une procédure numérique efficace pour calculer le prix de ces options. Enfin, la troisième partie traite de la valorisation d'un produit comportant un risque exogène dont il existe des prévisions. Nous proposons une stratégie dynamique optimale en présence de risque de volume, et l'appliquons à la valorisation des fermes éoliennes. De plus, une partie est consacrée aux stratégies optimales asymptotiques en présence de coûts de transactions
This thesis tackles three issues on pricing and hedging in energy markets. Energy markets differ from financial markets mainly in two ways: illiquidity and incompletness. Illiquidity (or lack of liquidity) translates into transaction costs and volume constraints. Incompletness means incapacity to perfectly hedge derivatives. We study different aspects of incomplete markets. First, we focus on indifference pricing in exponential Lévy models. We obtained an approximate formula by considering a Lévy process as a perturbed Brownian motion. That way we obtain the minimal correction from Black-Scholes price. Second, we present a numerical procedure to price spread options when underlyings are stochastically correlated. These options are very popular in energy markets, underlyings being for instance gas and electricity. Third, we derive optimal strategies using exogeneous factors forecasts. We exhibit an explicit pricing formula and an optimal strategy handling volume risk and apply it to wind farms valuation. Finally, a short review of optimal strategies taking into account transaction costs is made

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Rowsell, John. „Comparative analysis of cash margin hedging strategies with commodity futures contracts and options“. Thesis, Virginia Tech, 1987. http://hdl.handle.net/10919/45914.

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The performance of futures contracts and commodity options as hedging instruments were compared in a cash margin hedging framework for a 150 sow farrow to finish hog operation in southeastern Virginia. The expected cash margin (ECM) using corn soybean meal and hog futures were calculated daily from 1975 through 1982. The performance of options and futures were compared in 530 strategies that ranged from starit routine fixed margin hedging to strategies based on forecasted variable margins.

Master of Science

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Johnson, Larry A. „A comparison of optimum grain hedging strategies using commodity options and futures contracts: an application of portfolio theory“. Diss., Virginia Polytechnic Institute and State University, 1986. http://hdl.handle.net/10919/49803.

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Souza, Waldemar Antonio da Rocha de. „Gestão estratégica da produção de soja em Mato Grosso com o uso dos mercados futuros e de opções“. Universidade de São Paulo, 2010. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-14122010-081715/.

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O objetivo desta tese foi avaliar algumas abordagens para utilizar os mercados futuros e de opções no Brasil e no exterior como ferramentas para gestão estratégica da produção de soja em Mato Grosso. Apresentam-se duas linhas de trabalho na pesquisa. Na primeira, a estrutura a termo das opções com vencimento futuro negociadas no CME Group foi obtida para efetuar previsões da volatilidade e do nível de preços realizados, no curto e longo prazo, para os preços a vista da soja negociada em Rondonópolis (MT). Através da extração da volatilidade implícita do modelo de Black (1976) para precificação de opções de commodities, decompôs-se a variância da volatilidade em intervalos conhecidos e não conhecidos, para os quais se fez previsões de curto e longo prazo. Usou-se também a volatilidade implícita como parâmetro numa equação de intervalos de confiança empíricos para a estimação do nível de preços, no curto e longo prazo. Os testes de eficiência preditiva indicaram que as previsões da volatilidade realizada com base na volatilidade implícita têm maior grau de eficiência no curto prazo, enquanto as previsões dos níveis de preço são mais eficientes no longo prazo. Pode-se atribuir os resultados às características intrínsecas da série de preços da soja, em particular a tendência de reversão à média e o agrupamento de volatilidades. Na segunda abordagem, a decisão de hedge simultâneo dos produtores de soja de Mato Grosso com contratos futuros de preço e taxa de câmbio da BOVESPA-BM&F foi analisada. Um modelo de hedge simultâneo do risco de preços e taxa de câmbio foi obtido e as eficiências de diferentes estratégias de hedge foram calculadas. As principais conclusões foram que o hedge simultâneo de risco de preços e taxa de câmbio reduz mais o risco da receita total do que apenas o hedge de preços. A mitigação do risco de taxa de câmbio em conjunto com o de preços é fundamental para uma gestão estratégica dos exportadores de commodities.
This dissertation objective was the evaluation of some approaches to use the Brazilian and foreign futures and options markets as a strategic management mechanism for the soybean production in Mato Grosso. Two research topics are presented. In the first, the term structure of options with future maturities traded at the CME Group was obtained to make realized volatility and price level short and long term forecasts of the soybeans spot prices traded in Rondonopolis (MT). By extracting the implied volatility using the Black (1976) model for commodities option pricing, the volatility variance is decomposed in known and unknown intervals, for which predictions of short and long term values were made. Also the implied volatility was used as a parameter in an equation of the empirical confidence intervals for the estimation of the price level in the short and long term. Predictive efficiency tests indicated that the forecasts of realized volatility based on implied volatility show a greater degree of efficiency in the short term, while estimates of price levels are more efficient in the long term. These results can be assigned to the intrinsic characteristics of the soybean price series, in particular its tendency for mean reversion and volatility clustering. In the second essay, the joint hedging decision of the soybean producers of Mato Grosso with price and exchange rate futures contracts of BOVESPA-BM&F was analyzed. A simultaneous price and exchange risk hedging model was obtained and the efficiencies of different hedging strategies was calculated. The main findings were that the simultaneous hedging of price and exchange rate risk reduce more revenue risk than hedging with price futures only. The exchange risk jointly with price risk offset is key for a strategic management of commodities exporters.

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LAI, ZHAO-XUAN, und 賴兆炫. „A study of corn procurement strategies in Taiwan:an application of option hedging strategies“. Thesis, 1990. http://ndltd.ncl.edu.tw/handle/36343313739973864165.

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Bücher zum Thema "Option hedging strategies"

1

Clasing, Henry K. Currency options: Hedging and trading strategies. Homewood, Ill: Business One Irwin, 1992.

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Koziol, Joseph D. Hedging: Principles, practices, and strategies for the financial markets. New York: Wiley, 1990.

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Trading VIX derivatives: Trading and hedging strategies using VIX futures, options, and exchange-traded notes. Hoboken, N.J: Wiley, 2011.

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E, Nyhoff John, Hrsg. Trading financial futures: Markets, methods, strategies, and tactics. New York: Wiley, 1988.

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Advanced options trading: The analysis and evaluation of trading strategies, hedging tactics, and pricing models. Chicago, Ill: Probus Pub. Co., 1994.

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Capital, Barclays. Risk guide to indices: Strategies and products. London: Incisive Media Investments Ltd., 2004.

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Dattatreya, Ravi E. Advanced interest rate and currency swaps: State-of-the-art products, strategies & risk management applications. Chicago: Probus, 1994.

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8

Making Money with Option Strategies: Powerful Hedging Ideas for the Serious Investor to Reduce Portfolio Risks. Red Wheel/Weiser, 2016.

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Thomsett, Michael C. Making Money with Option Strategies: Powerful Hedging Ideas for the Serious Investor to Reduce Portfolio Risks. Red Wheel/Weiser, 2016.

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Milhailovich, Walter, und John B. Guerard. Currency Options: Strategies for Hedging, Trading, and Arbitrage. Probus Pub Co, 1986.

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Buchteile zum Thema "Option hedging strategies"

1

Tompkins, Robert G. „Option Hedging Strategies“. In Bund Options, 152–80. London: Palgrave Macmillan UK, 1991. http://dx.doi.org/10.1007/978-1-349-12800-6_7.

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Tompkins, Robert. „Option Hedging Strategies“. In Options Explained, 147–73. London: Palgrave Macmillan UK, 1991. http://dx.doi.org/10.1007/978-1-349-12802-0_7.

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Tompkins, Robert. „Option Hedging Strategies“. In Options Explained2, 355–85. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-13636-0_10.

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Gianin, Emanuela Rosazza, und Carlo Sgarra. „Black-Scholes Model for Option Pricing and Hedging Strategies“. In UNITEXT, 123–52. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-319-01357-2_7.

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Sönmezer, Sıtkı. „Option Strategies and Exotic Options: Tools for Hedging or Source of Financial Instability?“ In Contributions to Management Science, 245–57. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-47172-3_16.

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Thomsett, Michael C. „The Flexibility of Options Hedging“. In Options Installment Strategies, 175–81. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-99864-0_13.

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James, Tom. „Options - Trading and Hedging Application Strategies“. In Energy Price Risk, 107–24. London: Palgrave Macmillan UK, 2003. http://dx.doi.org/10.1057/9781403946041_5.

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„Volatility Smile and the Greeks of Option Strategies“. In Pricing and Hedging Financial Derivatives, 151–84. Chichester, UK: John Wiley & Sons Ltd, 2014. http://dx.doi.org/10.1002/9781118773215.ch7.

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Rechtschaffen, Alan N. „Options“. In Capital Markets, Derivatives, and the Law, 231–48. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780190879631.003.0013.

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An option is a derivative that derives its value from another underlying asset, instrument, or index. Options “transfer the right but not the obligation to buy or sell the underlying asset, instrument or index on or before the option's exercise date at a specified price (the strike price).” A contract that gives a purchaser such a right is inherently an option even if it called something else. Options can trade over the counter or on an exchange. Regulatory jurisdiction will be defined by the underlying asset negotiated under the terms of the option, by the location where the options are traded, and by the counterparties to an option transaction. This chapter discusses the characteristics of options, how options work, the Black-Scholes model and option pricing, delta hedging, and option strategies.

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„Fundamental Hedging Strategies“. In The Options Doctor, 167–75. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119204848.ch11.

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Konferenzberichte zum Thema "Option hedging strategies"

1

Sanghvi, Sagar, Harsh Shah, Suryansh Haria, Abhijit R. Joshi und Harshal Dalvi. „Developing hedging strategies in Option segment“. In 2016 International Conference on Computing Communication Control and automation (ICCUBEA). IEEE, 2016. http://dx.doi.org/10.1109/iccubea.2016.7860012.

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Thanekar, Gananjay Sandeep, und Zaheed Shamsuddin Shaikh. „Hedging The Portfolio Using Options Strategies“. In 2021 7th International Conference on Advanced Computing and Communication Systems (ICACCS). IEEE, 2021. http://dx.doi.org/10.1109/icaccs51430.2021.9441986.

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Chen, Huang-Ming, Hao-Hsuan Chang, Shen-Wei Fang und Wei-Guang Teng. „Options Trading and Hedging Strategies Based on Market Data Analytics“. In 9th International Conference on Computer Science and Information Technology. Aircc Publishing Corporation, 2019. http://dx.doi.org/10.5121/csit.2019.90804.

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Subramanian, Easwar, Vijaysekhar Chellaboina und Arihant Jain. „Explicit Solutions of Discrete-Time Hedging Strategies for Multi-Asset Options“. In 2016 International Conference on Industrial Engineering, Management Science and Application (ICIMSA). IEEE, 2016. http://dx.doi.org/10.1109/icimsa.2016.7504008.

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Lindahl, M., und E. S. Venkatesh. „Oil Hedging Strategies Using Futures and Options: Applications for the State of Alaska“. In SPE California Regional Meeting. Society of Petroleum Engineers, 1987. http://dx.doi.org/10.2118/16332-ms.

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