Sökning: "Delta neutral hedging"

Hittade 2 uppsatser innehållade orden Delta neutral hedging.

1. 1. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

   Författare :Joel Forsberg; [2022]
   Nyckelord :Swaptions; Clearinghouse; Compression; Interest rate swap;

   Sammanfattning : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. LÄS MER

3. 2. EMPIRICAL TEST OF MARKET EFFICIENCY OF OMX OPTIONS

   D-uppsats, Göteborgs universitet/Graduate Business School

   Författare :Aránzazu Muñoz Luengo; Aijun Hou; [2005]
   Nyckelord :Low boundary conditions; Put call parity; Delta neutral hedging; OMX options; Transaction costs; Implied volatility; Historical volatility; Market efficiency;

   Sammanfattning : This thesis examines the market efficiency of the Swedish index option (OMX) market. The empirical tests are carried out on an ex-ante basis using the index future contracts to hedge the index options. Two efficiency tests have been performed, explicitly lower boundary and put call parity conditions test and dynamic hedging strategy. LÄS MER