Essays about: "Delta Hedging"
Showing result 1 - 5 of 19 essays containing the words Delta 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. 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
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4. Static Hedging
University essay from KTH/Matematisk statistikAbstract : Hedging is the process of minimizing the risk associated with an investment. The most common method used for hedging an option is delta hedging, however, this thesis will show that delta hedging is a both a time consuming and costly method due to the requirement of continuous re-balancing. READ MORE
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5. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model
University essay from KTH/Matematisk statistikAbstract : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. READ MORE
