Essays about: "option hedging strategies"

Showing result 1 - 5 of 14 essays containing the words option hedging strategies.

1. 1. Static Hedging

   University essay from KTH/Matematisk statistik

   Author : Hanna Torany; Gustav Hultner; [2021]
   Keywords : ;

   Abstract : 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

3. 2. Deep Learning and the Heston Model:Calibration & Hedging

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
   Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

   Abstract : The computational speedup of computers has been one of the de ning characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. READ MORE

4. 3. Hedging European options under a jump-diffusion model with transaction costs

   University essay from Göteborgs universitet/Graduate School

   Author : Simon Evaldsson; Gustav Hallqvist; [2014-07-23]
   Keywords : ;

   Abstract : This thesis investigates the performance of hedging strategies when the underlying asset is governed by Merton (1976)’s jump-diffusion model. We hedge a written European call option and analyse the performance through simulation of stock prices. READ MORE

5. 4. Strategier vid optionshandel med vete : ett finansiellt instrument för att hantera råvarurisk

   University essay from SLU/Dept. of Biosystems and Technology (from 130101)

   Author : Henrik Nilsson; Olof Jönsson; [2014]
   Keywords : optioner; prissäkring; vete; strategi; råvarurisk; spannmålshandel;

   Abstract : Längre tillbaka i tiden så var lantbrukarna garanterade ett pris för vetet de producerade genom statlig reglering. När marknaden släpptes fri så tillkom prisrisken på det man producerar då marknaden prissätter varan genom tillgång och efterfrågan. READ MORE

6. 5. Forwards versus Options: Effectiveness in Hedging Currency Risk in International Portfolios

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Cecilia Alvarado-Vargas; Khwanchanok Kessakorn; [2013]
   Keywords : Currency Hedging; International Portfolios Diversification; Currency Forward Contracts; Currency Put Options.; Business and Economics;

   Abstract : This paper aims to examine effectiveness of currency hedging of forward contracts and options in international portfolio, consisting of assets denominated in Chinese Yuan and Indian Rupee. Instead of applying Markowitz’s portfolio optimization, mean-CVaR framework is used in order to deal with non-normality of return of financial assets as well as exchange rates. READ MORE