Dissertations / Theses on the topic 'Option hedging strategies'
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Whalley, A. E. "Option pricing with transaction costs." Thesis, University of Oxford, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.298265.
Full textArabi, Alireza, and 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.
Full textHeinzl, Thomas. "Dynamic hedging strategies and option pricing in bond market models with transaction costs /." Bamberg, 2000. http://aleph.unisg.ch/hsgscan/hm00006553.pdf.
Full textZackrisson, 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.
Full textKaya, 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.
Full textMénassé, Clément. "Pricing and hedging strategies in incomplete energy markets." Thesis, Sorbonne Paris Cité, 2017. http://www.theses.fr/2017USPCC186.
Full textThis 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
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.
Full textThe 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
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.
Full textSouza, 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/.
Full textThis 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.
LAI, ZHAO-XUAN, and 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.
Full textHeinzl, Thomas Anton. "Dynamic hedging strategies and option pricing in bond market models with transaction costs /." 1999. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008993441&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
Full textChen, Chang-Chih, and 陳昌志. "Pricing and Hedging Strategies of Vulnerable Black-Scholes Option on Defaultable Securities subject to the Intersection of Market and Credit Risk." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/09542402961734392443.
Full text國立高雄第一科技大學
財務管理所
93
ABSTRACT This paper is the first article using reduced-form model to provide the close-form solution for vulnerable options written on the risky securities while counterparty risk depends on reference risk. Our framework extends Jarrow and Turnbull (2000) and Jarrow and Yu (2001) to develop a general model for appraising options subject to the intersection of market and credit risk in various conditions. The availability of this integrated model allows for the pricing of vulnerable options written either on defaultable securities or default-free securities and of default-free options written on defaultable securities. Numerical analysis verifies that counterparty and reference risk can have the reversed impact on the behavior of the option value, and also discover that the sensitivity of the option value to the reference risk is obviously greater than to the counterparty risk. Under twofold default risk, vulnerable option may be more costly than non-vulnerable option.
Stoikov, Sasha Ferdinand. "Optimal strategies in incomplete financial markets." Thesis, 2005. http://hdl.handle.net/2152/24355.
Full texttext
Chang, che wei, and 張哲瑋. "Hedging strategies for delta neutral options." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/26923251311689481273.
Full text國立政治大學
資訊管理研究所
98
The global financial storm has happened more rapidly. The most important reason is that many enterprises published or invested in the derivatives ratio which has greatly increased without evading the potential market risk. Therefore, the advantages and the disadvantages of hedging strategy is a crucial issue in risk management. This research’s primary goal is to consider Delta-Gamma Neutral strategy in the invested combination of Delta Neutral that render the effect of discretely rebalance hedge became much better. The research entered the same underlying and expiration date, and let the different strike price’s option as hedging position. Using Monte Carol Simulation to obtain the condition of the portfolio’s value after holding a period of time, and compute the value-at-risk to measure hedging effect. The outcome showed that the hedging effect will be nice no matter the date of expiration by using at-the-money options with the same underlying and expiration date but different strike price when the original portfolio was composed of at-the-money options.
Zhou, Zi-Kai, and 周資凱. "Research of Hedging Strategies using Options withGenetic Algorithms." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/85149014537650900880.
Full text國立高雄第一科技大學
風險管理與保險所
94
ABSTRACT Stock market of Taiwan changes quickly, how to obtain the high reward under such an environment is a very important subject as to investor. While investors make the capital investment’s choices in order to reduce the risk, investors use a part of funds to operate the stock options reversely and proceed to hedge. This article aims at the investment hedging strategies for the public primarily. It assumes that popular investors have ten million funds in the stock market, and the lot’s number limits 2000 at most. We try to adopt four hedging positions, according to hedging lots, amount of average loss money and standard deviation of loss money to discuss about the best hedging lots, the best hedging position, possible loss or profit and severity of risk about four hedging positions.
Chiu, Yi-Ting, and 邱怡婷. "Hedging Strategies for Options in Daily Price Limit Markets." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/93725511065052961782.
Full text國立交通大學
財務金融研究所
99
This paper implements the different method of choosing the volatility in the Price-Limit model and examines their effect on the performance of standard delta hedging of vanilla options on TSE and the simulations. One method is using the historical return data and the other is using the hitting-boundary frequency to find the implied volatility. Simple adjustments to the Black-Scholes model are used as benchmark. To hedge the options in different strike price and different rebalancing frequency then compare with the results.
Huang-MingChen and 陳鍠銘. "Options Trading and Hedging Strategies Based on Market Data Analytics." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/4b67s2.
Full text國立成功大學
工程科學系
107
Financial engineering is based on mathematics and engineering point of view to explore and calculate the benefits and risks of financial products. Unlike common approaches proposed by financial researchers, we attempt to solve some practical problems with a data-oriented approach. In this work, we exploit a large amount of market data of futures options to address two issues in this work. The first issue is to discover an appropriate product choice and timing for profitable trading. Without loss of generality, we investigate the effectiveness of several trading constraints and technical indicators by scrutinizing and backtesting with the long-term market data. The second issue is to use the spread strategies for risk control when being an options seller. Note that a spread position is constituted where one buys an option and sells another option against it. In general, we develop a scheme to simulate different trading strategies and thus identify some simple but profitable strategies. Additionally, a backtesting platform is developed to constitute a practical experimental environment. A user may combine and test his or her own strategies freely on this platform. Experimental studies show that our strategies yield good profit in the TAIFEX market from 2004 to 2018.
Cheng, Yen Shin, and 程言信. "The Hedging Strategies and Valuation of Options in The Imperfect Markets." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/64786244573726164928.
Full textChia-JungLu and 呂佳蓉. "Developing Trading and Hedging Strategies for Options Based on Market Data." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/40911705631903720534.
Full text國立成功大學
工程科學系碩士在職專班
104
Financial engineering is based on mathematics and engineering point of view to explore the establishment of model structure, and thus calculate the benefits and risks of financial products issued by the financial markets of a subject. In this work, we exploit a large amount of market data of futures options to address two issues. The first is to develop investment strategies based on an appropriate pricing model, and the second is to develop hedging strategies for risk control when the market trend is not as expected. Note that the trading of futures options can be modeled as a zero-sum game. Moreover, it is reported that 75% to 80% of options held through expiration will indeed expire worthless. Therefore, our goal in this work is to explore some simple but effective strategies for being option sellers. Exeperimental results show that our strategies have yielded good profit in the TAIFEX market in the past ten years.
Wang, Chi Chin, and 王琪瑾. "The Empirical Study of TX Options Short Strategies With Futures Hedging." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/73651478399920557249.
Full textPeng, Hsin-Wen, and 彭信溫. "The Study on TAIFEX Options(TXO) Hedging Strategies Adopted by Sellers." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/36847078835915669269.
Full text元智大學
管理研究所
97
This study aimed to examine hedging strategies adopted by sellers of options in the hope of finding a favorable trading strategy for this type of investors. The study looked at two types of sell straddle hedging strategies: (1) the strategy to sell straddle which is at-the-money and (2) the strategy to sell one to five pairs of straddles above and below the strike price at the commencement of trading. A total of six sub-strategies were studied and corresponding hedging strategies were adopted. The daily closing prices between February of 2005 and December of 2008 (47 months) during the contract period were collected and calculated to compare the levels of profitability before hedging and after hedging in order to verify the effectiveness of the hedging strategies. The results show that the most profitable strategy is a combination of the strategies to sell three pairs and five pairs of straddles above and below the strike price, coupled with corresponding hedging strategies. The total rate of return for the contract period was 89%, without taking the cost of trading into account. Key Words: TAIFEX Options(TXO), sellers, hedging strategies
Jheng, Jhih-Fu, and 鄭直夫. "Quadratic Risk Minimization Hedging Strategies for Ratchet Options in Equity-indexed Annuities." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/07952225298771165763.
Full text逢甲大學
統計與精算所
97
This study considers discrete hedging strategy of the compound annual ratchet (CAR) design in Equity-index Annuities. The quadratic risk-minimization criterion, combined with CRR binomial tree model, is used to determine the optimal hedging strategy. To overcome the path dependency of ratchet option, a recursive formula is derived. According to the determined hedging strategy, the costs in hedging are analyzed. As a comparison, this thesis also considers the delta hedging strategy at Black-Scholes scheme. The Monte Carlo simulation method is utilized for discussing the performance of both strategies. Finally, an empirical analysis in the Taiwan Stock Index is also accomplished. Simulation result shows, quadratic risk-minimization strategy controls the hedging cost and total hedging error better whereas delta hedging strategy bears lower hedging error at maturity. The empirical study shows, the volatility estimation of index highly affects the quadratic hedging strategy.
Wang, Jen-Chieh, and 王仁傑. "A study of Trading Strategies on Optimization Hedging Portfolio of TAIEX Futures and TAIEX Options." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/rn2ff8.
Full text國立臺中科技大學
企業管理系碩士班
105
Under the development trend of internationalization in Taiwan’s financial market, derivation goods are becoming more popular. In addition, they offer multiple transaction channels for financial management. TAIFEX brings out TAIEX Futures and TAIEX Options, which account for the largest proportion of the market, and work the most efficiently through the obtaining of information and trading. This study focused on how to draft trading strategies to make long-term stable profits in a very short period of time and control the risk effectively. The data covers the time-span from January, 2002 till January, 2017, a period of 179 months with 179 transactions, based on the samples of the closing prices of TAIEX Futures and TAIEX Options. We used the retest method and divided the samples into two groups, group A and group B. Group A was comprised of those that only choose one single commodity futures (two futures of MTX), using the transactions of one single direction to buy first and then sell to handle the approach and appearance. Group B choose one more commodity futures mixed with TAIEX Options, using the selling of two futures of in-the-money and buying one futures of out-of-the-money similar to a bear market to operate, and then estimate the differences of the risk and the return of investment of the two groups. The result shows that if we added the margin to control the risk, we still can benefit from the long-term-one-way transactions. And increasing Group B’s options will not cut down Group A’s income, but on the contrary it will add more income. It seems to indicate that this is a better trading strategy.
Yang, Lan-jie, and 楊嵐傑. "The Performance of Hedging Strategies - The Evidence of Shorting USD against TWD Foreign Exchange Options." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/06932382869669388770.
Full text東吳大學
經濟學系
92
Taiwan is a foreign-trade-orientated country. In Taiwan, kinds of foreign trade activities are correlated with the volatile foreign exchange rate. The domestic exporters and importers can operate various financial instruments, such as USD/TWD foreign exchange option since 1997 deregulation. However, there are few papers discuss with this type of financial products and much less hedging strategies of foreign exchange options in Taiwan. Therefore, this study focuses on the performance of hedging strategies, as exporters and importers operate foreign exchanging activities. This study investigates exporters and importers use hedging strategies -- Un-hedge、Stop-Loss、Delta Hedge -- to avoid the potential risks if they sell FX options. Through actual data, this study examines the profit & loss of each hedging strategy, and compares its performance. According the hedging performance, it can be figured out which strategy is better than others. Following main findings are reached through the examining of each strategy’s hedging profit & loss: 1. The Stop-Loss strategy is better than Un-hedge and Delta Hedge on the whole. 2. The Delta Hedge strategy is better than Un-hedge and Stop-Loss, if and only if options are in-the-money on expiration date. 3. The Un-hedge strategy is better than Stop-Loss and Delta Hedge, if and only if options are out-of-the-money on expiration date.