| FLORIANOVÁ, Hana. Gamma-hedging of Warrants: Evidence from Frankfurt Stock Exchange. In Bilgin M., Danis H., Demir E., Can U. Regional Studies on Economic Growth, Financial Economics and Management, vol. 7. Istanbul: Springer, Cham, 2017, s. 51-61. ISBN 978-3-319-54111-2. Dostupné z: https://dx.doi.org/10.1007/978-3-319-54112-9_4. |
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@inproceedings{1360811,
author = {Florianová, Hana},
address = {Istanbul},
booktitle = {Regional Studies on Economic Growth, Financial Economics and Management, vol. 7},
doi = {http://dx.doi.org/10.1007/978-3-319-54112-9_4},
editor = {Bilgin M., Danis H., Demir E., Can U.},
keywords = {Gamma-hedging; Warrants; Portfolio; Trading; Risk},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Istanbul},
isbn = {978-3-319-54111-2},
pages = {51-61},
publisher = {Springer, Cham},
title = {Gamma-hedging of Warrants: Evidence from Frankfurt Stock Exchange},
url = {https://link.springer.com/chapter/10.1007/978-3-319-54112-9_4},
year = {2017}
}
TY - JOUR
ID - 1360811
AU - Florianová, Hana
PY - 2017
TI - Gamma-hedging of Warrants: Evidence from Frankfurt Stock Exchange
PB - Springer, Cham
CY - Istanbul
SN - 9783319541112
KW - Gamma-hedging
KW - Warrants
KW - Portfolio
KW - Trading
KW - Risk
UR - https://link.springer.com/chapter/10.1007/978-3-319-54112-9_4
N2 - 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.
ER -
FLORIANOVÁ, Hana. Gamma-hedging of Warrants: Evidence from Frankfurt Stock Exchange. In Bilgin M., Danis H., Demir E., Can U. \textit{Regional Studies on Economic Growth, Financial Economics and Management, vol. 7}. Istanbul: Springer, Cham, 2017, s.~51-61. ISBN~978-3-319-54111-2. Dostupné z: https://dx.doi.org/10.1007/978-3-319-54112-9\_{}4.
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