出版社：Economic Laboratory for Transition Research Podgorica
摘要：The purpose of the paper is to focus on selected aspects of thehedging using of Short Call Ladder strategy created by barrieroptions. Given barrier option strategies belong to the appropriatetools widely used for risk management with an effective solutionfor limiting the loss from underlying asset´s price development.There is investigated the motivations and practice of firms withregard to using options in their risk management activities. Methodologyof the paper is based on European up and knock-in calloptions together with standard call and barrier call options inanalytical expression, which are used for investigation of hedgingstrategies in increasing markets. According to Haug model, barrieroption prices are calculated, due to lack of real data in themarket. Based on theoretical models of suitable hedged profitfunctions in analytical expressions, there are analysed their benefitsand risks point of view in general. The requirements of zerocostoption strategy have to be met. Our theoretical results areapplied to the Energy Select Sector SPDR ETF, where designedhedged portfolios are analysed and compared to each other withthe recommendations for investors. According to our findings wecan recommend the hedging variant 2A or 4 as the best variantensuring the lowest costs at expected intervals of the shares spotprice at the maturity date. However, the selection of the righthedged portfolio is based on suitable combinations of the strikeprices, the lower and the upper barriers for the best hedgingprofit function´s achievement
Loading...
