Gamma Hedging of Crude Oil Asian Options

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00084079" target="_blank" >RIV/00216224:14560/15:00084079 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Gamma Hedging of Crude Oil Asian Options
Original language description
Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper is to derive gamma hedging strategy for Asian options and compere its efficiency with gamma hedging combined with predictive model. Fixed strike Asian options are type of exotic options, whose special feature is that payoff is calculated from the difference of average marketprice and strike price for call options and vice versa for the put options. Methods of stochastic analysis are used to determine deltas and gammas of Asian options. Asian options are cheaper than vanilla options and therefore they are more suitable for portfolio creation. On the other hand their deltas are also smaller as well as profits. That means that they are also less risky and more suitable for hedging.
Czech name
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Czech description
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Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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