Influence of Volatility on Hedging Strategies

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00084329" target="_blank" >RIV/00216224:14560/15:00084329 - 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
Influence of Volatility on Hedging Strategies
Original language description
Subjects of financial markets who invest their funds in financial derivatives undergo high risks. The way how to protect from risk portfolio that includes warrants may be delta-hedging and gamma-hedging. The former is immune to the small changes in underlying asset's price and the letter even for greater changes in price. In this paper we try to answer the question what is the small change in price of an underlying asset. For this purpose we construct 50 portfolios which are delta-neutral and observe and compare how their value reacts to the certain levels of volatility of the underlying asset's price. The results show that there is no certain level of volatility which may be stated as small, however we found out that for medium level of volatility delta-hedging is successful for approximately 87% of reducing risk. The research is based on prospecting real financial markets. Data is gathered from Frankfurt Stock Exchange from year 2015.
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

Article name in the collection
Proceedings of the 12th International Scientific Conference European Financial Systems
ISBN
9788021079625
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
129-134
Publisher name
Masaryk University
Place of publication
Brno
Event location
Brno
Event date
Jan 1, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000370679200018

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