Advanced search

Found 1 essay matching the above criteria.

1. 1. 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