Sökning: "static hedging"

Visar resultat 1 - 5 av 13 uppsatser innehållade orden static hedging.

  1. 1. Static Hedging

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Hanna Torany; Gustav Hultner; [2021]
    Nyckelord :;

    Sammanfattning : Hedging is the process of minimizing the risk associated with an investment. The most common method used for hedging an option is delta hedging, however, this thesis will show that delta hedging is a both a time consuming and costly method due to the requirement of continuous re-balancing. LÄS MER

  3. 2. Prissäkring : ekonomisk optimering av grödval med hänsyn tagen till försäljningsstrategier och risk

    Uppsats för yrkesexamina på avancerad nivå, SLU/Dept. of Economics

    Författare :Henrik Karlsson; Gustav Skog; [2016]
    Nyckelord :futureskontrakt; medel- och variansanalys; portföljteori; prissäkring; terminshandel;

    Sammanfattning : Prissäkring av spannmål är ett sätt för att minska variation i det ekonomiska resultatet för lantbrukare (Hull, 2012). Vid volatila priser ökar risken för företagen. Prissäkring är ett lämpligt verktyg för att minska prisrisk. LÄS MER

  4. 3. Hedging European options under a jump-diffusion model with transaction costs

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Simon Evaldsson; Gustav Hallqvist; [2014-07-23]
    Nyckelord :;

    Sammanfattning : This thesis investigates the performance of hedging strategies when the underlying asset is governed by Merton (1976)’s jump-diffusion model. We hedge a written European call option and analyse the performance through simulation of stock prices. LÄS MER

  5. 4. Estimation of Time-Varying Hedge Ratios for Coffee

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Alejandro Esteban Lombana Betancourt; Lena Al Azzawi; [2013]
    Nyckelord :Hedge ratio; basis risk; GARCH; BEKK; VECH; futures contracts; coffee; Business and Economics;

    Sammanfattning : This paper will gain better insights of how to calculate the hedge ratio to reduce the basis risk and protect against the price volatility, which is caused by the mismatch between the spot and future prices. This will be done by calculating the time-varying hedge ratio for the Colombian mild Arabica coffee, using two BGARCH models, the diagonal BEKK and diagonal VECH. LÄS MER

  7. 5. The properties of interest rate swaps : An investigation of the price setting of illiquid interest rates swaps and the perfect hedging portfolios

    Master-uppsats, KTH/Matematisk statistik

    Författare :Max Lindquist; [2012]
    Nyckelord :;

    Sammanfattning : The main purpose of this thesis is to analyze the properties of various types of simple interest rates swaps, investigate how they depend on the swap rates of the liquid instruments on the market and the OIS-rates, and analyze how an illiquid instrument should be priced and hedged. The price setting tool used by the Fixed Income division at SEB Merchant Banking has been analyzed, and simulations of the hedging portfolios have been done over a time span of one year. LÄS MER