Influence of Volatility on Hedging Strategies
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Influence of Volatility on Hedging Strategies
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Influence of Volatility on Hedging Strategies
Popis výsledku anglicky
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.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
AE - Řízení, správa a administrativa
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2015
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
Proceedings of the 12th International Scientific Conference European Financial Systems
ISBN
9788021079625
ISSN
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e-ISSN
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Počet stran výsledku
6
Strana od-do
129-134
Název nakladatele
Masaryk University
Místo vydání
Brno
Místo konání akce
Brno
Datum konání akce
1. 1. 2015
Typ akce podle státní příslušnosti
WRD - Celosvětová akce
Kód UT WoS článku
000370679200018