Gamma Hedging of Crude Oil Asian Options

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Gamma Hedging of Crude Oil Asian Options

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Gamma Hedging of Crude Oil Asian Options

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Enterprise and the Competitive Environment

ISBN

9788075093424

ISSN

—

e-ISSN

—

Počet stran výsledku

10

Strana od-do

321-330

Název nakladatele

Mendel University

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

1. 1. 2015

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

—