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Delta Hedging in Complete Market
2016In this chapter, we study a class of Markovian models for complete markets. This type of model is the most commonly used in practice. In these models, the underlying price process is solution to a Stochastic Differential Equation.
Bruno Bouchard +1 more
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The Delta Hedging's Application in Credit Risk Management
2009 International Conference on Business Intelligence and Financial Engineering, 2009The article measures the bank loan’s credit risk with the value of a put option which based on the Merton structure model, introduces the delta hedging strategy of option transaction into the bank credit risk management. The article analyzes three main influence factors of delta hedging, states that the absolute value of delta has a reverse relation ...
Shujun Ye, Zelei Fan
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Delta Hedging Energy Portfolios: an Exploratory Study
2007 40th Annual Hawaii International Conference on System Sciences (HICSS'07), 2007Delta hedging, although widely used in commodity markets, needs to be further adapted to electricity markets. Given the extreme volatility of electricity prices, even a portfolio whose market value is perfectly hedged may still yield large and potentially unacceptable cash-flow swings in the short term.
Richard Goldberg +3 more
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2005
The difference between a basis option pricing model on futures or forward contracts, assuming both underlying futures contracts follow geometric Brownian motion, and a basis option pricing model on futures contracts, assuming both underlying securities follow arithmetic Brownian motion are non material from a risk management perspective.
Robert E. Brooks, Brandon N. Cline
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The difference between a basis option pricing model on futures or forward contracts, assuming both underlying futures contracts follow geometric Brownian motion, and a basis option pricing model on futures contracts, assuming both underlying securities follow arithmetic Brownian motion are non material from a risk management perspective.
Robert E. Brooks, Brandon N. Cline
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Delta Hedging in the Perfect World
2014There are many ways to look at volatility, and people working in the industry are so used to this concept that it gets used in different contexts, which is sometimes confusing at first sight to new entrants. Throughout this book, we will keep coming back to this concept and, by breaking it down to its basics, the different points of view will all be ...
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On the choice between two delta-hedging strategies
Decisions in Economics and Finance, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Parity Relations and Delta Hedging
1998AbstractThe structure of the hedging portfolio is quite complicated, and is continuously rebalanced. This continuous rebalancing presents a problem since real life trading has a cost. For managerial purposes, it would be better to replicate a claim with a portfolio that remains constant over time — the buy-and-hold portfolio.
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Dynamic Schemes of Hedging - Delta Hedging and Delta-Gamma Hedging on Currency Market
2016Dynamiczne strategie zabezpieczające przed ryzykiem walutowym to opracowane procedury czynności, które należy wykonywać na bieżąco, w sytuacjach zmian kursu waluty, w czasie ciągłego monitorowania transakcji. Jest to zatem stałe, selektywne przeciwdziałanie powstawaniu otwartych pozycji w opcjach walutowych.
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Delta-Hedging and Variance Swap Replication
SSRN Electronic Journal, 2019Papers treating variance swap replication often mention that the replicating portfolio consists of a static position in an appropriately weighted continuous strip of options, and a dynamic position in the underlying asset that can be regarded as the delta-hedge of the strip of options.
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