Gamma-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%2F17%3A00095920" target="_blank" >RIV/00216224:14560/17:00095920 - isvavai.cz</a>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Gamma-hedging of Warrants: Evidence from Frankfurt Stock Exchange

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Gamma-hedging of Warrants: Evidence from Frankfurt Stock Exchange

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

Regional Studies on Economic Growth, Financial Economics and Management, vol. 7

ISBN

9783319541112

ISSN

2364-5067

e-ISSN

—

Počet stran výsledku

11

Strana od-do

51-61

Název nakladatele

Springer, Cham

Místo vydání

Istanbul

Místo konání akce

Istanbul

Datum konání akce

1. 1. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000424822700004