HRUŠKA, Juraj. Delta-gamma-theta Hedging of Crude Oil Asian Options. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. 2015, vol. 63, No 6, p. 1897-1903. ISSN 1211-8516. Available from: https://dx.doi.org/10.11118/actaun201563061897.
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Basic information
Original name Delta-gamma-theta Hedging of Crude Oil Asian Options
Authors HRUŠKA, Juraj (703 Slovakia, guarantor, belonging to the institution).
Edition Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015, 1211-8516.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50600 5.6 Political science
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
RIV identification code RIV/00216224:14560/15:00084081
Organization unit Faculty of Economics and Administration
Doi http://dx.doi.org/10.11118/actaun201563061897
Keywords in English Asian option; delta; gamma; theta; hedging; investment decision making
Changed by Changed by: Ing. Mgr. Juraj Hruška, Ph.D., učo 206887. Changed: 1/3/2016 11:10.
Abstract
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 delta-gamma-theta hedging strategy for Asian options and compere its efficiency with gamma-delta-theta 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 market price and strike price for call options and vice versa for the put options. Methods of stochastic analysis are used to determine deltas, gammas and thetas of Asian options. Asian options are cheaper than vanilla options and therefore they are more suitable for precise 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. Results, conducted on chosen commodity, confirm better feasibility of Asian options compering with vanilla options in sense of gamma hedging.
Links
MUNI/A/1127/2014, interní kód MUName: Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí
Investor: Masaryk University, Category A
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