Zmiany siły powiązań i zmienności indeksów giełd światowych

Węgrzyn, Ryszard

doi:10.15678/znuek.2015.0938.0209

Cited by 1 publication

(1 citation statement)

References 15 publications

(6 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The previously conducted research on the development of the Polish options market highlighted the changes in the deviations of option prices from certain relations resulting from arbitrage. Based on the results obtained, it was found that the number and scale of these deviations clearly decreased, improving the quality of the arbitrage pricing of options [Węgrzyn 2010;2011]. In this context, it is worth assessing the effectiveness of dynamic hedging in current market conditions.…”

Section: Introductionmentioning

confidence: 99%

Effectiveness of dynamic hedging using options on the WIG20 in current market conditions

Węgrzyn¹

2020

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

View full text Add to dashboard Cite

Based on previous research on the deviations of the prices of options on the WIG20 from the arbitrage restrictions and features, it was found that the number and scale of these deviations clearly decreased, thus improving the quality of the arbitrage pricing of options. The purpose of this work in this context is to determine the effectiveness of dynamic hedging using options on the WIG20 in current market conditions and to compare the results with the results of previously conducted research. The study was carried out using the historical scenario method based on data from 2017-2018 shared by the Warsaw Stock Exchange. To compare the effectiveness of dynamic hedging, Value at Risk was applied to the unhedged portfolio and portfolios hedged by a specific hedging method. Based on the research, it can be concluded that among the delta, delta-gamma and delta-gamma-vega hedging analyzed, the most effective solution in the current market conditions is delta hedging. The research results indicate that despite qualitative changes on the market that improve the option price relations the delta-gamma and delta-gamma-vega hedging are in practice worse solutions than delta hedging.

show abstract

Section: Introductionmentioning

confidence: 99%

Effectiveness of dynamic hedging using options on the WIG20 in current market conditions

Węgrzyn¹

2020

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

View full text Add to dashboard Cite

show abstract

Zmiany siły powiązań i zmienności indeksów giełd światowych

Cited by 1 publication

References 15 publications

Effectiveness of dynamic hedging using options on the WIG20 in current market conditions

Effectiveness of dynamic hedging using options on the WIG20 in current market conditions

Contact Info

Product

Resources

About