Essays about: "Option Hedging"
Showing result 1 - 5 of 42 essays containing the words Option Hedging.
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1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options
University essay from KTH/Matematik (Avd.)Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE
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2. Option Expiration Day Impact on Underlying Stock Return- A Study on the Swedish Option Market
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : Research questions: Is there significant change in the stock return on option expiration dates in the underlying stock? Does the net open interest have an effect on the return of the underlying stock on option expiration day? Purpose: The purpose of the bachelor's thesis is to study whether there is a significant difference in the stock returns on option expiration dates in relation to the net open interest of the underlying stocks within the OMXS30 index. Methodology: A quantitative study using a deductive approach to statistically describe the relationship between the daily stock return with open interest and traded volume. READ MORE
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3. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation
University essay from Uppsala universitet/Analys och partiella differentialekvationerAbstract : This thesis aims at evaluating and implementing Longstaff & Schwarz approach for approximating the value of American options. American options are generally hard to value, exercised at any time up to its expiration and moreover, there is no closed- form solution for an American option’s price. READ MORE
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4. Pricing and Hedging of Financial Instruments using Forward–Backward Stochastic Differential Equations : Call Spread Options with Different Interest Rates for Borrowing and Lending
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : In this project, we are aiming to solve option pricing and hedging problems numerically via Backward Stochastic Differential Equations (BSDEs). We use Markovian BSDEs to formulate nonlinear pricing and hedging problems of both European and American option types. READ MORE
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5. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression
University essay from Umeå universitet/Institutionen för fysikAbstract : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. READ MORE
