Zeitschriftenartikel: „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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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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BAYRAKTAR, ERHAN, und ZHOU ZHOU. „SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY“. International Journal of Theoretical and Applied Finance 20, Nr. 06 (September 2017): 1750036. http://dx.doi.org/10.1142/s0219024917500364.

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We consider the super-hedging price of an American option in a discrete-time market in which stocks are available for dynamic trading and European options are available for static trading. We show that the super-hedging price [Formula: see text] is given by the supremum over the prices of the American option under randomized models. That is, [Formula: see text], where [Formula: see text] and the martingale measure [Formula: see text] are chosen such that [Formula: see text] and [Formula: see text] prices the European options correctly, and [Formula: see text] is the price of the American option under the model [Formula: see text]. Our result generalizes the example given in Hobson & Neuberger (2016) that the highest model-based price can be considered as a randomization over models.

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Taušer, J., und R. Čajka. „Hedging techniques in commodity risk management“. Agricultural Economics (Zemědělská ekonomika) 60, No. 4 (28.04.2014): 174–82. http://dx.doi.org/10.17221/120/2013-agricecon.

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The article focuses on selected aspects of risk management in agricultural business with the aim to discuss and compare different hedging methods which are relevant for managing the commodity risks associated with agricultural production. The article provides a broader context for understanding the risks and possible responses to it and analyses four basic hedging strategies – commodity futures, forward contracts, options and option strategies. The substance, advantages and disadvantages of each hedging technique are pointed out and compared to each other with the conclusion that there is always some kind of trade-off between the advantages and disadvantages of the particular strategies. The farmers shall, therefore, consider both all aspects of the relevant strategies and their expectations, before they make the final decision which instruments to use.  

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Schroeder, Ted C., Orlen C. Grunewald, Scott A. Langemeier und Del M. Allen. „An analysis of live cattle option hedging strategies“. Agribusiness 5, Nr. 2 (März 1989): 153–68. http://dx.doi.org/10.1002/1520-6297(198903)5:2<153::aid-agr2720050207>3.0.co;2-q.

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ROUX, ALET. „PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS“. International Journal of Theoretical and Applied Finance 19, Nr. 07 (November 2016): 1650043. http://dx.doi.org/10.1142/s0219024916500436.

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The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical examples, as well as probabilistic dual representations for the bid and ask price of a game option.

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Machado-Santos, Carlos. „Portfolio insurance using traded options“. Revista de Administração Contemporânea 5, Nr. 3 (Dezember 2001): 187–214. http://dx.doi.org/10.1590/s1415-65552001000300010.

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Literature concerning the institutional use of options indicates that the main purpose of option trading is to provide investors with the opportunity to create return distributions previously unavailable, considering that options provide the means to manipulate portfolio returns. In such a context, this study intends to analyse the returns of insured portfolios generated by hedging strategies on underlying stock portfolios. Because dynamic hedging is too expensive, we have hedged the stock positions discretely, in a way that the positions were revised only when the daily hedge ratio has changed more than a specific amount. The results, provided by these hedging schemes, indicate that a small rise of the standard deviation seems to be largely compensated with the higher average returns. In fact, such strategies seem to be highly influenced by the price movements of underlying stocks, requiring more frequent (sparse) adjustments in periods of high (low) volatility. Thus, discrete hedging strategies seem more accurate and meaningful than the arbitrary regular intervals largely presented and discussed in literature.

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Becker, Sebastian, Patrick Cheridito und Arnulf Jentzen. „Pricing and Hedging American-Style Options with Deep Learning“. Journal of Risk and Financial Management 13, Nr. 7 (19.07.2020): 158. http://dx.doi.org/10.3390/jrfm13070158.

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In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a point estimate and confidence intervals. Finally, it constructs an approximate dynamic hedging strategy. We test the approach on different specifications of a Bermudan max-call option. In all cases it produces highly accurate prices and dynamic hedging strategies with small replication errors.

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Basson, Lodewikus Jacobus, und Gary van Vuuren. „Exploring Hedging Strategies Identified by Fractal Dimensions“. Scientific Annals of Economics and Business 67, Nr. 1 (März 2020): 1–13. http://dx.doi.org/10.47743/saeb-2020-0001.

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A hedging strategy is designed to increase the likelihood of desired financial out-comes. Market speculators hedge investment positions if they are worth protecting against potential negative outcomes on the underlying investment. Such negative outcomes cannot be avoided altogether, but effective hedging can reduce impact severity. The investment strategy includes an index held by investors (long position) and uses a fractal dimension indicator to warn when liquidity or sentiment changes are imminent. When the named indicator breaches a certain threshold, a hedging position is taken. This sequence of events triggers the implementation of a hedging strategy by entering a buy put-option position. The daily cumulative returns on using the fractal dimension indicators were 83% more profitable on average when applied to each chosen index respectively.

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CORNALBA, LORENZO, JEAN-PHILIPPE BOUCHAUD und MARC POTTERS. „OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS“. International Journal of Theoretical and Applied Finance 05, Nr. 03 (Mai 2002): 307–20. http://dx.doi.org/10.1142/s0219024902001444.

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We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme with history-dependent hedging strategies, we obtain a general formula, valid for weakly correlated non-Gaussian processes. We show that for Gaussian price increments, the correlations are irrelevant, and the Black-Scholes formula holds with the volatility of the price increments calculated on the scale of the re-hedging. For non-Gaussian processes, further non trivial corrections to the "smile" are brought about by the correlations, even when the hedge is the Black-Scholes Δ-hedge. We introduce a compact notation which eases the computations and could be of use to deal with more complicated models.

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Pan, Hong Yu Xin, und Jun Song. „Volatility cones and volatility arbitrage strategies – empirical study based on SSE ETF option“. China Finance Review International 7, Nr. 2 (15.05.2017): 203–27. http://dx.doi.org/10.1108/cfri-05-2016-0041.

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Purpose Using volatility cones as the estimate of actual volatility instead of GARCH models, the purpose of this paper is to explore whether volatility arbitrage strategy can provide positive profits and how the transaction costs existed in the real market affect the effectiveness of volatility arbitrage strategy. Design/methodology/approach A number of hedging approaches proposed to improve the hedging results and final returns of Black-Scholes model are analyzed and compared. Findings The general finding is that volatility arbitrage strategy can provide satisfactory returns based on the samples in Chinese market. Regarding transaction costs, the variable bandwidth delta and delta tolerance approach showed better results. Besides, choosing futures together with ETFs as hedging underlying can increase the VaR for better risk management. Practical implications This paper offers a new method for volatility arbitrage in Chinese financial market. Originality/value This paper researches the profitability of the volatility arbitrage strategy on ETF 50 options using volatility cones method for the first time. This method has advantage over the point-wise estimation such as GARCH model and stochastic volatility model.

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Lim, Hyuncheul, und Youngsoo Choi. „Knock-In and Stocks Market Effect Due to ELS Issuance and Hedging“. Journal of Derivatives and Quantitative Studies 23, Nr. 2 (31.05.2015): 289–321. http://dx.doi.org/10.1108/jdqs-02-2015-b0006.

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In this paper we analyze the shortfall risk implied in the auto call step down equity linked securities (ELS) based on two underlying assets, which is a major product of the rapidly growing ELS market as the low interest rate environment continues. And we also present the hedging strategies for managing shortfall risk. In the position of auto call step down ELS issuer, 1) until the underlying asset price reaches at knock-in (KI) level, the delta of the underlying is continually and significantly increased in order to hedge the short position of the Down and Out (DO) option and the long position of the put option inherent in ELS, 2) however, the hedger must reduce this delta as soon as the underperformed underlying price touches KI level, which triggers the vanishing of the DO option. As a way to manage these shortfall risks, this paper proposes two new hedging strategies of minimizing these shortfall risks and depending on the KI probability. Also this paper shows that these hedging strategies provide better performance than traditional BS hedging strategy when these hedging strategies are applied to a sample product with real market data. As the policy proposals, first, in order to prevent the concentration of the KI prices, ELS issue amount based on the same underlying is needed to be determined in consideration of both the average market trading volume and maximum leverage delta. Second, in the realm of pin risk such as Knock-In or Knock-Out, where the leverage increases, it is recommended to mitigate the risk management delta limit based on the BS model which is made under the assumption of continuous hedging infinitesimally.

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Korn, Ralf, und Paul Wilmott. „A General Framework for Hedging and Speculating with Options“. International Journal of Theoretical and Applied Finance 01, Nr. 04 (Oktober 1998): 507–22. http://dx.doi.org/10.1142/s0219024998000278.

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In contrast to their role in theory, options are in practice not only traded for hedging purposes. Many investors also use them for speculation purposes. For these investors the Black–Scholes price serves only as an orientation, their decisions to buy, hold or hedge an option are also based on subjective beliefs and on their personal utility functions (in the widest possible sense). The aim of this paper is to present a general framework to include different types of investors, especially hedgers, pure speculators and speculators following strategies with bounded risk. We derive their subjective values of an option endogenously from the solution of their decision problems.

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El-Khatib, Youssef, und Abdulnasser Hatemi-J. „Option valuation and hedging in markets with a crunch“. Journal of Economic Studies 44, Nr. 5 (09.10.2017): 801–15. http://dx.doi.org/10.1108/jes-04-2016-0083.

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Purpose Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. The purpose of this paper is to extend their work to a situation in which the unconditional volatility of the original asset is increasing during a certain period of time. Design/methodology/approach The authors consider a market suffering from a financial crisis. The authors provide the solution for the equation of the underlying asset price as well as finding the hedging strategy. In addition, a closed formula of the pricing problem is proved for a particular case. Furthermore, the underlying price sensitivities are derived. Findings The suggested formulas are expected to make the valuation of options and the underlying hedging strategies during a financial crisis more precise. A numerical application is provided for determining the premium for a call and a put European option along with the underlying price sensitivities for each option. Originality/value An alternative option pricing model is introduced that performs better than existing ones, especially during a financial crisis.

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Harrison, R. Wes. „Stochastic Dominance Analysis of Futures and Option Strategies for Hedging Feeder Cattle“. Agricultural and Resource Economics Review 27, Nr. 2 (Oktober 1998): 270–80. http://dx.doi.org/10.1017/s1068280500006596.

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Stochastic simulation and generalized stochastic dominance are used to compare the risk-return properties of the Chicago Mercantile Exchange feeder cattle futures contract with those of the feeder cattle put option contract. Cash marketing, futures, and option strategies are analyzed for four backgrounding systems common to the mid-south region of the United States. The results show that at-the-money put option strategies dominate corresponding futures contract strategies according to generalized stochastic dominance. This implies that at-the-money put option contracts are superior to feeder cattle futures contracts for risk-averse backgrounders in the mid-south region of the United States.

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Da Fonseca, José, und Katrin Gottschalk. „Cross-hedging strategies between CDS spreads and option volatility during crises“. Journal of International Money and Finance 49 (Dezember 2014): 386–400. http://dx.doi.org/10.1016/j.jimonfin.2014.03.010.

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Axén, Gustav, und Dominic Cortis. „Hedging on Betting Markets“. Risks 8, Nr. 3 (25.08.2020): 88. http://dx.doi.org/10.3390/risks8030088.

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The possibility to use hedging strategies is an often neglected aspect in the literature on prediction/betting markets, as most papers assume that bettors will bet according to their beliefs about the probability of the outcome of the event, as opposed to the direction in which the odds will move. This ignores strategies that try to buy low and sell high through exploiting price changes, which is an important aspect to incorporate to fully understand market pricing. In this paper, we derive the key mathematical results in using hedging strategies through taking opposite positions to an initial bet after the market odds have changed and show that a profit can be made without explicitly speculating on the probability of the outcomes. We also discuss two sources of inefficiency that can arise when using hedging strategies in practice: (i) the need to pay a fee when using a betting exchange and (ii) the lack of a lay option (the possibility to bet against outcomes) on some markets, and we analyze how they affect the possibilities to hedge. Many of the results have interesting properties when expressed in terms of the naive probabilities implied by the odds.

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Carvalho, Vitor H., und Raquel M. Gaspar. „Relativistic Option Pricing“. International Journal of Financial Studies 9, Nr. 2 (18.06.2021): 32. http://dx.doi.org/10.3390/ijfs9020032.

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The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain circumstances, are not dissociated and can no longer be interpreted as Euclidean. This paper provides an overview of the research made in this field while formally defining the key notions of spacetime, proper time and an understanding of how time dilation impacts financial models. We illustrate how special relativity modifies option pricing and hedging, under the Black–Scholes model, when market participants are in two different reference frames. In particular, we look into maturity and volatility relativistic effects.

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MENOUKEU-PAMEN, OLIVIER, und ROMUALD MOMEYA. „LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL“. International Journal of Theoretical and Applied Finance 18, Nr. 05 (28.07.2015): 1550033. http://dx.doi.org/10.1142/s0219024915500338.

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In this paper, the option hedging problem for a Markov-modulated exponential Lévy model is examined. We use the local risk-minimization approach to study optimal hedging strategies for Europeans derivatives when the price of the underlying is given by a regime-switching Lévy model. We use a martingale representation theorem result to construct an explicit local risk minimizing strategy.

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HENDERSON, VICKY, DAVID HOBSON und GLENN KENTWELL. „A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH“. International Journal of Theoretical and Applied Finance 05, Nr. 03 (Mai 2002): 255–78. http://dx.doi.org/10.1142/s0219024902001390.

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We provide a new way of hedging a commodity exposure which eliminates downside risk without sacrificing upside potential. The tool used is a variant on the equity passport option and can be used with both futures and forwards contracts as the underlying hedge instrument. Results are given for popular commodity price models such as Gibson-Schwartz and Black with convenience yield. Two different scenarios are considered, one where the producer places his usual hedge and undertakes additional trading, and the other where the usual hedge is not held. In addition, a comparison result is derived showing that one scenario is always more expensive than the other. The cost of these methods are compared to buying a put option on the commodity.

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HUBALEK, F., und W. SCHACHERMAYER. „THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS“. International Journal of Theoretical and Applied Finance 04, Nr. 02 (April 2001): 361–73. http://dx.doi.org/10.1142/s0219024901001024.

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We consider an option c which is contingent on an underlying [Formula: see text] that is not a traded asset. This situation typically arises in the context of real options. We investigate the situation when there is a "surrogate" traded asset S whose price process is highly correlated with that of [Formula: see text]. An illustration would be the cases where S and [Formula: see text] model two different brands of crude oil. The main result of the paper shows that in this case one cannot draw any non-trivial conclusions on the price of the option by only using no-arbitrage arguments. In a second step we try to isolate hedging strategies on the traded asset S which minimize the variance of the hedging error. We show in particular, that the naive strategy of simply replacing [Formula: see text] by S fails to be optimal and we are able to quantify how far it is from being optimal.

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ESIPOV, SERGEI, und IGOR VAYSBURD. „ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES“. International Journal of Theoretical and Applied Finance 02, Nr. 02 (April 1999): 131–52. http://dx.doi.org/10.1142/s0219024999000108.

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Hedging a derivative security with non-risk-neutral number of shares leads to portfolio profit or loss. Unlike in the Black–Scholes world, the net present value of all future cash flows till maturity is no longer deterministic, and basis risk may be present at any time. The key object of our analysis is probability distribution of future P & L conditioned on the present value of the underlying. We consider time dynamics of this probability distribution for an arbitrary hedging strategy. We assume log-normal process for the value of the underlying asset and use convolution formula to relate conditional probability distribution of P & L at any two successive time moments. It leads to a simple PDE on the probability measure parameterized by a hedging strategy. For risk-neutral replication the P & L probability distribution collapses to a delta-function at the Black–Scholes price of the contingent claim. Therefore, our approach is consistent with the Black–Scholes one and can be viewed as its generalization. We further analyze the PDE and derive formulae for hedging strategies targeting various objectives, such as minimizing variance or optimizing distribution quantiles. The developed method of computing the profit and loss distribution for a given hedging scheme is applied to the classical example of hedging a European call option using the "stop-loss" strategy. This strategy refers to holding 1 or 0 shares of the underlying security depending on the market value of such security. It is shown that the "stop-loss" strategy can lead to a loss even for an infinite frequency of re-balancing. The analytical method allows one to compute profit and loss distributions without relying on simulations. To demonstrate the strength of the method we reproduce the Monte Carlo results on "stop-loss" strategy given in Hull's book, and improve the precision beyond the limits of regular Monte-Carlo simulations.

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CARR, PETER. „SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS“. International Journal of Theoretical and Applied Finance 14, Nr. 07 (November 2011): 1091–111. http://dx.doi.org/10.1142/s0219024911006668.

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We show that the payoff to barrier options can be replicated when the underlying price process is driven by the difference of two independent Poisson processes. The replicating strategy employs simple semi-static positions in co-terminal standard options. We note that classical dynamic replication using just the underlying asset and a riskless asset is not possible in this context. When the underlying of the barrier option has no carrying cost, we show that the same semi-static trading strategy continues to replicate even when the two jump arrival rates are generalized into positive even functions of distance to the barrier and when the clock speed is randomized into a positive continuous independent process. Since the even function and the positive process need no further specification, our replicating strategies are also semi-robust. Finally, we show that previous results obtained for continuous processes arise as limits of our analysis.

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NAIK, VASANTTILAK. „Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns“. Journal of Finance 48, Nr. 5 (Dezember 1993): 1969–84. http://dx.doi.org/10.1111/j.1540-6261.1993.tb05137.x.

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López, Oscar, und Nikita Ratanov. „Option Pricing Driven by a Telegraph Process with Random Jumps“. Journal of Applied Probability 49, Nr. 03 (September 2012): 838–49. http://dx.doi.org/10.1017/s0021900200009578.

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In this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained.

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López, Oscar, und Nikita Ratanov. „Option Pricing Driven by a Telegraph Process with Random Jumps“. Journal of Applied Probability 49, Nr. 3 (September 2012): 838–49. http://dx.doi.org/10.1239/jap/1346955337.

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In this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained.

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Luo, Jiarong, Xiaolin Zhang und Chong Wang. „Using put option contracts in supply chains to manage demand and supply uncertainty“. Industrial Management & Data Systems 118, Nr. 7 (13.08.2018): 1477–97. http://dx.doi.org/10.1108/imds-09-2017-0393.

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Purpose The purpose of this paper is to value put option contracts in hedging the risks in a supply chain consisting of a component supplier with random yield and a manufacturer facing stochastic demand for end products. Design/methodology/approach This paper adopts stochastic inventory theory, game theory, optimization theory and algorithm and MATLAB numerical simulation to investigate the manufacturer’s ordering and the supplier’s production strategies, and to study the coordination and optimization strategies in the context of random yield and demand. Findings The authors find that put options can not only facilitate the manufacturer’s order but also the supplier’s production, that is, the manufacturer and the supplier can effectively manage their involved risks and earn more expected profits by adopting put options. Further, the authors find that the single put option contract fails to coordinate such a supply chain. However, when combined with a protocol, it is able to coordinate the supply chain. Originality/value This paper is the first effort to study the intersection of put option contracts and random yield in the presence of a spot market. From a new perspective, the authors explore the supply chain coordination. The authors propose a mechanism to coordinate the supply chain under put option contracts.

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LEE, ROGER W. „IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY“. International Journal of Theoretical and Applied Finance 04, Nr. 01 (Februar 2001): 45–89. http://dx.doi.org/10.1142/s0219024901000870.

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For asset prices that follow stochastic-volatility diffusions, we use asymptotic methods to investigate the behavior of the local volatilities and Black–Scholes volatilities implied by option prices, and to relate this behavior to the parameters of the stochastic volatility process. We also give applications, including risk-premium-based explanations of the biases in some naïve pricing and hedging schemes. We begin by reviewing option pricing under stochastic volatility and representing option prices and local volatilities in terms of expectations. In the case that fluctuations in price and volatility have zero correlation, the expectations formula shows that local volatility (like implied volatility) as a function of log-moneyness has the shape of a symmetric smile. In the case of non-zero correlation, we extend Sircar and Papanicolaou's asymptotic expansion of implied volatilities under slowly-varying stochastic volatility. An asymptotic expansion of local volatilities then verifies the rule of thumb that local volatility has the shape of a skew with roughly twice the slope of the implied volatility skew. Also we compare the slow-variation asymptotics against what we call small-variation asymptotics, and against Fouque, Papanicolaou, and Sircar's rapid-variation asymptotics. We apply the slow-variation asymptotics to approximate the biases of two naïve pricing strategies. These approximations shed some light on the signs and the relative magnitudes of the biases empirically observed in out-of-sample pricing tests of implied-volatility and local-volatility schemes. Similarly, we examine the biases of three different strategies for hedging under stochastic volatility, and we propose ways to implement these strategies without having to specify or estimate any particular stochastic volatility model. Our approximations suggest that a number of the empirical pricing and hedging biases may be explained by a positive premium for the portion of volatility risk that is uncorrelated with asset risk.

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Рехман, Назир, Nazir Rekhman, Закир Хуссейн, Zakir Khusseyn, Файха Али, Faykha Ali, Ольга Бендерская et al. „EVOLUTION OF AMERICAN OPTION VALUE FUNCTION ON A DIVIDEND PAYING STOCK UNDER JUMP-DIFFUSION PROCESSES“. Bulletin of Belgorod State Technological University named after. V. G. Shukhov 2, Nr. 3 (09.02.2017): 212–21. http://dx.doi.org/10.12737/article_58db88f92e358.

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This work is devoted to the analysis and evolution of the value function of American type options on a dividend paying stock under jump diffusion processes. An equivalent form of the value function is obtained and analyzed. Moreover, variational inequalities satisfied by this function are investigated. These results can be used to investigate the optimal hedging strategies and optimal exercise boundaries of the corresponding options.

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Рехман, Nazir Rekhman, Хуссейн, Zakir Khusseyn, Али, Faykha Ali, Бендерская et al. „EVOLUTION OF AMERICAN OPTION VALUE FUNCTION ON A DIVIDEND PAYING STOCK UNDER JUMP-DIFFUSION PROCESSES“. Bulletin of Belgorod State Technological University named after. V. G. Shukhov 2, Nr. 3 (04.04.2017): 212–21. http://dx.doi.org/10.12737/article_58e24de420f6a0.19667564.

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This work is devoted to the analysis and evolution of the value function of American type options on a dividend paying stock under jump diffusion processes. An equivalent form of the value function is obtained and analyzed. Moreover, variational inequalities satisfied by this function are investigated. These results can be used to investigate the optimal hedging strategies and optimal exercise boundaries of the corresponding options.

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Łamasz, Bartosz, und Natalia Iwaszczuk. „The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market“. Energies 13, Nr. 20 (13.10.2020): 5323. http://dx.doi.org/10.3390/en13205323.

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This paper aims to analyze the impact of implied volatility on the costs, break-even points (BEPs), and the final results of the vertical spread option strategies (vertical spreads). We considered two main groups of vertical spreads: with limited and unlimited profits. The strategy with limited profits was divided into net credit spread and net debit spread. The analysis takes into account West Texas Intermediate (WTI) crude oil options listed on New York Mercantile Exchange (NYMEX) from 17 November 2008 to 15 April 2020. Our findings suggest that the unlimited vertical spreads were executed with profits less frequently than the limited vertical spreads in each of the considered categories of implied volatility. Nonetheless, the advantage of unlimited strategies was observed for substantial oil price movements (above 10%) when the rates of return on these strategies were higher than for limited strategies. With small price movements (lower than 5%), the net credit spread strategies were by far the best choice and generated profits in the widest price ranges in each category of implied volatility. This study bridges the gap between option strategies trading, implied volatility and WTI crude oil market. The obtained results may be a source of information in hedging against oil price fluctuations.

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Jiang, Tianjiao. „From Nuclear Hedging to Korea-Japan Nuclear Weapons Free Zone: Japan's Nuclear Options“. Copenhagen Journal of Asian Studies 34, Nr. 1 (27.10.2016): 81–111. http://dx.doi.org/10.22439/cjas.v34i1.5189.

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This article discusses both the positive and negative effects of Japan's three nuclear strategies: nuclear hedging, nuclear breakout, and the Korea-Japan Nuclear Weapons Free Zone (KJNWFZ). Nuclear hedging has been the longest established strategy to protect Japan's national security but it will become increasingly unreliable in the coming decades. Nuclear breakout, an alternative strategy, is impractical due to its high costs. In comparison, this article argues that KJNWFZ is the ideal option for Japan's future nuclear strategy. However, in recent years, the Japanese government has maintained the status quo, despite the scale of anti-nuclear protest across the country following the Fukushima crisis. Civilian anti-nuclear does not effectively in-ﬂuence nuclear strategy decision-making, due to a combination of national electoral politics, interests groups, the 'veto players' of the right-wing, and the broader regional security context. In conclusion, the nuclear hedging policy remains the accepted balance of interests supported by decision-makers.

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Smirnov, Sergey. „A Guaranteed Deterministic Approach to Superhedging—The Case of Convex Payoff Functions on Options“. Mathematics 7, Nr. 12 (17.12.2019): 1246. http://dx.doi.org/10.3390/math7121246.

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This paper considers super-replication in a guaranteed deterministic problem setting with discrete time. The aim of hedging a contingent claim is to ensure the coverage of possible payoffs under the option contract for all admissible scenarios. These scenarios are given by means of a priori given compacts that depend on the history of prices. The increments of the price at each moment in time must lie in the corresponding compacts. The absence of transaction costs is assumed. The game–theoretic interpretation of pricing American options implies that the corresponding Bellman–Isaacs equations hold for both pure and mixed strategies. In the present paper, we study some properties of the least favorable (for the “hedger”) mixed strategies of the “market” and of their supports in the special case of convex payoff functions.

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Abdelmalek, Wafa, Sana Ben Hamida und Fathi Abid. „Selecting the Best Forecasting-Implied Volatility Model Using Genetic Programming“. Journal of Applied Mathematics and Decision Sciences 2009 (31.08.2009): 1–19. http://dx.doi.org/10.1155/2009/179230.

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The volatility is a crucial variable in option pricing and hedging strategies. The aim of this paper is to provide some initial evidence of the empirical relevance of genetic programming to volatility's forecasting. By using real data from S&P500 index options, the genetic programming's ability to forecast Black and Scholes-implied volatility is compared between time series samples and moneyness-time to maturity classes. Total and out-of-sample mean squared errors are used as forecasting's performance measures. Comparisons reveal that the time series model seems to be more accurate in forecasting-implied volatility than moneyness time to maturity models. Overall, results are strongly encouraging and suggest that the genetic programming approach works well in solving financial problems.

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Wan, Nana, und Xu Chen. „Multi-period dual-sourcing replenishment problem with option contracts and a spot market“. Industrial Management & Data Systems 118, Nr. 4 (14.05.2018): 782–805. http://dx.doi.org/10.1108/imds-07-2017-0291.

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Purpose The spot market has been gradually recognized as an important alternative purchasing source. To maintain a flexible replenishment strategy, call, put and bidirectional option contracts, as a risk hedging, are in combined usage with the spot market, respectively. The purpose of this paper is to analyze a finite-horizon replenishment problem with option contracts in the context of a spot market. Design/methodology/approach Based on stochastic dynamic programming, the firm’s optimal replenishment policy with either call, put or bidirectional option contracts is always shown to be order-up-to type, characterized by an upper threshold and a lower one. The corresponding policy parameters in different cases are calculated through an approximate algorithm. This research highlights the effectiveness of option contracts on the firm’s operational strategies and overall profitability. Findings This study reveals that the firm is better off with option contracts than without them. When the price parameters are the same for different option contracts, bidirectional option contracts are the best choice among these flexible contracts; otherwise, unilateral option contracts might be either better or worse than bidirectional ones. In addition, if low inventory costs and high spot price volatility are confronted, the firm prefers to call option contracts rather than put ones; otherwise, there exists an opposite conclusion. Originality/value In addition to highlight the advantage of option contracts over wholesale price contracts, this paper provides interesting observations with respect to the effect of different option contracts on the firm. Many significant insights derived from this research do not only contribute to the provider’s feasible design of the supply contracts, but also contribute to the user’s rational operational strategies for higher profitability.

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Bobriková, Martina. „Weather Risk Management in Agriculture“. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 64, Nr. 4 (2016): 1303–9. http://dx.doi.org/10.11118/actaun201664041303.

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The paper focuses on valuation of a weather derivative with payoffs depending on temperature. We use historical data from the weather station in the Slovak town Košice to obtain unique prices of option contracts in an incomplete market. Numerical examples of prices of some contracts are presented, using the Burn analysis. We provide an example of how a weather contract can be designed to hedge the financial risk of a suboptimal temperature condition. The comparative comparison of the selected option hedging strategies has shown the best results for the producers in agricultural industries who hedges against an unfavourable weather conditions. The results of analysis proved that by buying put option or call option, the farmer establishes the highest payoff in the case of temperature decrease or increase. The Long Straddle Strategy is the most expensive but is available to the farmer who hedges against a high volatility in temperature movement. We conclude with the findings that weather derivatives could be useful tools to diminish the financial losses for agricultural industries highly dependent for temperature.

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NANDITA. N, DEVI, KOMANG DHARMAWAN und DESAK PUTU EKA NILAKUSMAWATI. „ANALISIS SENSITIVITAS HARGA OPSI MENGGUNAKAN METODE GREEK BLACK SCHOLES“. E-Jurnal Matematika 7, Nr. 2 (13.05.2018): 148. http://dx.doi.org/10.24843/mtk.2018.v07.i02.p197.

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Sensitivity analysis can be used to carry out hedging strategies. The sensitivity value measures how much the price change of the option influenced by some parameters. The aim of this study is to determine the sensitivity analysis of the buying price of European option by using the Greek method on Black Scholes Formula. From this study we get the values of delta, gamma, theta, vega, and rho. The values of deltas, gamma, vega, and rho are positive, which means that the value of the option is more sensitive than the corresponding parameter. The most sensitive value of gamma is obtained when the stock price approaches the strike price and approaches the expiry date. The value of theta obtained is negative and hence the most sensitive theta value is when the value is getting smaller. While, the most sensitive value of vega is obtained when the stock price is close to the strike price and is far from the expiry date. The most sensitive value of rho is obtained when the stock price gets bigger and farther from the expiry date.

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Смирнов, Сергей Николаевич, und Sergey Sergey. „A guaranteed deterministic approach to superhedging: most unfavorable scenarios of market behaviour and moment problem“. Mathematical Game Theory and Applications 12, Nr. 3 (23.12.2020): 50–88. http://dx.doi.org/10.17076/mgta_2020_3_21.

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A guaranteed deterministic problem setting of super-replication with discrete time is considered: the aim of hedging of a contingent claim is to ensure the coverage of possible payout under the option contract for all admissible scenarios. These scenarios are given by means of a priori given compacts, that depend on the prehistory of prices: the increments of the price at each moment of time must lie in the corresponding compacts. The absence of transaction costs is assumed. The game-theoretical interpretation implies that the corresponding Bellman-Isaac equations hold, both for pure and mixed strategies. In the present paper, we propose a two-step method of solving the Bellman equation arising in the case of (game) equilibrium. In particular, the most unfavorable strategies of the `market can be found in the class of the distributions concentrated at most in n+1 point, where n is the number of risky assets.

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BENTH, FRED ESPEN, und FRANK PROSKE. „UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES“. International Journal of Theoretical and Applied Finance 12, Nr. 01 (Februar 2009): 63–82. http://dx.doi.org/10.1142/s0219024909005117.

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We consider the problem of utility indifference pricing of a put option written on a non-tradeable asset, where we can hedge in a correlated asset. The dynamics are assumed to be a two-dimensional geometric Brownian motion, and we suppose that the issuer of the option have exponential risk preferences. We prove that the indifference price dynamics is a martingale with respect to an equivalent martingale measure (EMM) Q after discounting, implying that it is arbitrage-free. Moreover, we provide a representation of the residual risk remaining after using the optimal utility-based trading strategy as the hedge. Our motivation for this study comes from pricing interest-rate guarantees, which are products usually offered by companies managing pension funds. In certain market situations the life company cannot hedge perfectly the guarantee, and needs to resort to sub-optimal replication strategies. We argue that utility indifference pricing is a suitable method for analysing such cases. We provide some numerical examples giving insight into how the prices depend on the correlation between the tradeable and non-tradeable asset, and we demonstrate that negative correlation is advantageous, in the sense that the hedging costs become less than with positive correlation, and that the residual risk has lower volatility. Thus, if the insurance company can hedge in assets negatively correlated with the pension fund, they may offer cheaper prices with lower Value-at-Risk measures on the residual risk.

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TSUZUKI, YUKIHIRO. „ON OPTIMAL SUPER-HEDGING AND SUB-HEDGING STRATEGIES“. International Journal of Theoretical and Applied Finance 16, Nr. 06 (September 2013): 1350038. http://dx.doi.org/10.1142/s0219024913500386.

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This paper proposes optimal super-hedging and sub-hedging strategies for a derivative on two underlying assets without any specification of the underlying processes. Moreover, the strategies are free from any model of the dependency between the underlying asset prices. We derive the optimal pricing bounds by finding a joint distribution under which the derivative price is equal to the hedging portfolio's value; the portfolio consists of liquid derivatives on each of the underlying assets. As examples, we obtain new super-hedging and sub-hedging strategies for several exotic options such as quanto options, exchange options, basket options, forward starting options, and knock-out options.

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O'Brien, Thomas. „Hedging strategies using catastrophe insurance options“. Insurance: Mathematics and Economics 21, Nr. 2 (November 1997): 153–62. http://dx.doi.org/10.1016/s0167-6687(97)00029-2.

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Gerber, Nina, und Hanna Kokko. „Abandoning the ship using sex, dispersal or dormancy: multiple escape routes from challenging conditions“. Philosophical Transactions of the Royal Society B: Biological Sciences 373, Nr. 1757 (27.08.2018): 20170424. http://dx.doi.org/10.1098/rstb.2017.0424.

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Natural populations often experience environments that vary across space and over time, leading to spatio-temporal variation of the fitness of a genotype. If local conditions are poor, organisms can disperse in space (physical movement) or time (dormancy, diapause). Facultatively sexual organisms can switch between asexual and sexual reproduction, and thus have a third option available to deal with maladaptedness: they can engage in sexual reproduction in unfavourable conditions (an ‘abandon-ship’ response). Sexual reproduction in facultatively sexual organisms is often coupled with dispersal and/or dormancy, while bet-hedging theory at first sight predicts sex, dispersal and dormancy to covary negatively, as they represent different escape mechanisms that could substitute for each other. Here we briefly review the observed links between sex, dormancy and dispersal, and model the expected covariation patterns of dispersal, dormancy and the reproductive mode in the context of local adaptation to spatio-temporally fluctuating environments. The correlations between sex, dormancy and dispersal evolve differently within species versus across species. Various risk-spreading strategies are not completely interchangeable, as each has dynamic consequences that can feed back into the profitability of others. Our results shed light on the discrepancy between previous theoretical predictions on covarying risk-spreading traits and help explain why sex often associates with other means of escaping unfavourable situations. This article is part of the theme issue ‘Linking local adaptation with the evolution of sex differences’.

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