Gamma-hedging of Warrants: Evidence from Frankfurt Stock Exchange
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00095920" target="_blank" >RIV/00216224:14560/17:00095920 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/978-3-319-54112-9_4" target="_blank" >http://dx.doi.org/10.1007/978-3-319-54112-9_4</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/978-3-319-54112-9_4" target="_blank" >10.1007/978-3-319-54112-9_4</a>
Alternative languages
Result language
angličtina
Original language name
Gamma-hedging of Warrants: Evidence from Frankfurt Stock Exchange
Original language description
Gamma-hedging is a useful strategy how to reduce risk of a portfolio consisting of financial derivatives and shares. This paper investigates portfolios consisting of European type warrants and shares of world-known companies. Currently traded assets on the Frankfurt Stock Exchange are used to compose portfolios. In theory gamma-neutral portfolios should be immune even to significant changes of underlying assets; price but real markets may not support this fact. We find trading strategy similar to protective collar. Since our strategy is intended for decreasing price of an underlying asset, we test the hypothesis that alternative collar strategy is profitable for decreasing shares and losing for increasing shares. We test it on three kinds of shares – decreasing BMW, increasing Adidas and stagnating Telekom. Our results are that gamma-hedging in our scenario has positive impact on decreasing portfolio’s risk, our trading strategy brings profit and it is verified on real financial markets.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
—
OECD FORD branch
50206 - Finance
Result continuities
Project
—
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Regional Studies on Economic Growth, Financial Economics and Management, vol. 7
ISBN
9783319541112
ISSN
2364-5067
e-ISSN
—
Number of pages
11
Pages from-to
51-61
Publisher name
Springer, Cham
Place of publication
Istanbul
Event location
Istanbul
Event date
Jan 1, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000424822700004