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@inproceedings{1314637,
author = {Florianová, Hana},
address = {Brno},
booktitle = {Proceedings of the 12th International Scientific Conference European Financial Systems},
editor = {Kajurová, V. and J. Krajíček},
keywords = {warrants; delta-hedging; portfolio; Frankfurt Stock Exchange},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Brno},
isbn = {978-80-210-7962-5},
pages = {129-134},
publisher = {Masaryk University},
title = {Influence of Volatility on Hedging Strategies},
url = {http://is.muni.cz/do/econ/sborniky/2015/EFS_2015_proceedings.pdf},
year = {2015}
}
TY - JOUR
ID - 1314637
AU - Florianová, Hana
PY - 2015
TI - Influence of Volatility on Hedging Strategies
PB - Masaryk University
CY - Brno
SN - 9788021079625
KW - warrants
KW - delta-hedging
KW - portfolio
KW - Frankfurt Stock Exchange
UR - http://is.muni.cz/do/econ/sborniky/2015/EFS_2015_proceedings.pdf
N2 - 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.
ER -
FLORIANOVÁ, Hana. Influence of Volatility on Hedging Strategies. In Kajurová, V. and J. Krajíček. \textit{Proceedings of the 12th International Scientific Conference European Financial Systems}. Brno: Masaryk University, 2015, s.~129-134. ISBN~978-80-210-7962-5.
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