Essays about: "gamma Hedging"

Showing result 1 - 5 of 6 essays containing the words gamma Hedging.

  1. 1. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression

    University essay from Umeå universitet/Institutionen för fysik

    Author : Joel Forsberg; [2022]
    Keywords : Swaptions; Clearinghouse; Compression; Interest rate swap;

    Abstract : 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

  3. 2. Pricing and Hedging of Swing Options in the European Electricity and Gas Markets

    University essay from Lunds universitet/Matematisk statistik

    Author : John Hedestig; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : This report outlines a method to price and hedge a generalized swing option based on the European natural gas and electricity markets. The method is model free in that is does not assume a certain spot price dynamics. It only requires a forward curve and European call options prices that cover the delivery period of the swing option. READ MORE

  4. 3. The Risk-Return Tradeoff in a Hedged, Client Driven Trading Portfolio

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Anders Bergvall; [2013]
    Keywords : DiVA; published; student thesis; Client driven trading; Risk-Return tradeoff; Delta-gamma Value-at-Risk; IMA; Backtesting;

    Abstract : In post-financial crisis times, new legislation in combination with banks’ changed risk aversion has to a great extent changed the proprietary trading to client driven trading, i.e. market making or client facilitation. READ MORE

  5. 4. Hedging Effectiveness of Index Options in Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Janis Lazdins; Janis Kiploks; [2011]
    Keywords : Black-Scholes-Merton model; Regression-based hedge; Hedging errors; Hedging performance and effectiveness;

    Abstract : We test hedging performance of five different hedging techniques of the OMX Stockholm 30 (OMXS30) call options. Four of the hedging techniques applied are based on the Black-Scholes-Merton (BSM) model and the fifth is a regression-based model that adjusts the original BSM Greeks. READ MORE

  6. 5. Dynamic and Static Hedging of Barrier options

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anders Nilsson; Jon Andersson; [2007]
    Keywords : hedging; static; dynamic; barrier; options; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : In this paper the performance of a static hedging strategy of European barrier options are evaluated, first introduced by Carr, Ellis and Gupta in 1998. Two dynamic hedging strategies are used as benchmarks; the delta hedging and delta-gamma hedging strategy, respectively. READ MORE