Delta-hedging of Warrants: Evidence from Frankfurt Stock Exchange

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00084780" target="_blank" >RIV/00216224:14560/15:00084780 - isvavai.cz</a>

Výsledek na webu

<a href="http://ac.els-cdn.com/S2212567115012915/1-s2.0-S2212567115012915-main.pdf?_tid=e0995d9c-8f83-11e5-8f41-00000aacb360&acdnat=1448023407_ec11f832894d7b1cfafd697e757198a0" target="_blank" >http://ac.els-cdn.com/S2212567115012915/1-s2.0-S2212567115012915-main.pdf?_tid=e0995d9c-8f83-11e5-8f41-00000aacb360&acdnat=1448023407_ec11f832894d7b1cfafd697e757198a0</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/S2212-5671(15)01291-5" target="_blank" >10.1016/S2212-5671(15)01291-5</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Delta-hedging of Warrants: Evidence from Frankfurt Stock Exchange

Popis výsledku v původním jazyce

Delta-hedging is a powerful strategy how to hedge a portfolio consisting of derivatives and shares. This paper focuses on portfolio consisting of warrants and shares. Warrants are chosen to be American call type with shares as underlying assets. Shares belong to the world-known companies such as Lufthansa, Microsoft and others. The aim is to find out if delta-hedged portfolio has lower risk than the non-hedged portfolio and if so, how big is the difference. The delta is derived from the Black-Scholes option pricing model. Based on the data from Frankfurt Stock Exchange we build 50 different portfolios. Results are that the average percentage of avoided risk is 70 %. In some cases delta-hedging also causes profit instead of a loss and in very less casesit causes losses instead of the profits, which would be gained without hedging. Delta-hedging makes the derivatives feasible even for risk-averse investors.

Název v anglickém jazyce

Delta-hedging of Warrants: Evidence from Frankfurt Stock Exchange

Popis výsledku anglicky

Delta-hedging is a powerful strategy how to hedge a portfolio consisting of derivatives and shares. This paper focuses on portfolio consisting of warrants and shares. Warrants are chosen to be American call type with shares as underlying assets. Shares belong to the world-known companies such as Lufthansa, Microsoft and others. The aim is to find out if delta-hedged portfolio has lower risk than the non-hedged portfolio and if so, how big is the difference. The delta is derived from the Black-Scholes option pricing model. Based on the data from Frankfurt Stock Exchange we build 50 different portfolios. Results are that the average percentage of avoided risk is 70 %. In some cases delta-hedging also causes profit instead of a loss and in very less casesit causes losses instead of the profits, which would be gained without hedging. Delta-hedging makes the derivatives feasible even for risk-averse investors.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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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

Procedia Economics and Finance

ISBN

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ISSN

2212-5671

e-ISSN

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Počet stran výsledku

6

Strana od-do

239-244

Název nakladatele

Elsevier

Místo vydání

Rome

Místo konání akce

Rome

Datum konání akce

1. 1. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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