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Relevant bibliographies by topics / Option hedging strategies

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Journal articles

Academic literature on the topic 'Option hedging strategies'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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Journal articles on the topic "Option hedging strategies"

1

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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2

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 f

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3

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

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4

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

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5

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. C

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6

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

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7

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.

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8

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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9

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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10

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 contex

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