- Author
- Rokita Paweł (Uniwersytet Ekonomiczny we Wrocławiu)
- Title
- Dynamiczne zabezpieczanie pozycji w opcjach a koszty transakcji
Transaction Costs and Dynamic Hedging with Positions in Options and Stock - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Ekonometria (7), 2001, nr 895, s. 198-208, bibliogr. 6 poz.
- Issue title
- Zastosowania metod ilościowych
- Keyword
- Zarządzanie ryzykiem, Koszty transakcyjne, Zabezpieczenie portfela akcji
Risk management, Transaction cost, Portfolio hedging - Note
- summ.
- Abstract
- Artykuł dotyczy zabezpieczania przed ryzykiem rynkowym portfela zawierającego europejskie opcje na akcje oraz akcje. Zabezpieczenie portfela dokonywane jest tu poprzez odpowiednio częste korygowanie pozycji odwrotnych. Wymaga to uwzględnienia kosztów transakcji. (fragment tekstu)
This paper deals with hedging of a portfolio containing positions in stock and european stock options. We are taking into consideration market risk only. The risk will be measured here using the following sensitivity measures: delta, gamma and vega. The hedging effect is achieved by correcting of inverse positions with a proper frequency. There is, however, a need of a trade-off between the frequency of position-correcting transactions and transaction costs. We assume the aim of an investor is keeping the above-mentioned sensitivity measures at a required, sufficiently low level. It seems worth remaining that the value of these coefficients vary during the time to expiration of the option. The problem in question will be discussed in the following stages:- description of a static case;
- dynamic approach without transaction costs;
- dynamic approach with transaction costs:
- when the investor does not trade off transaction costs against the frequency of position-correcting transactions (the investor is not concerned about transaction costs),
- when the investor is interested in reducing transaction costs;
- description of a numeric algorithm applied here and a short presentation of a suggested method of determining of the permissible rise in portfolio risk, with regard to corresponding decrease in transaction costs. (original abstract)
- Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Bibliography
-
- Ahn D.H. (i in.): Optimal Risk Management Using Options. "Journal of Finance" 1999 nr 1. s. 359-375.
- Haug E.G: The Complete Guide to Option Pricing Formulas. New York: McGraw-Hill 1998.
- Hull J.: Kontrakty terminowe i opcje. Wprowadzenie. Warszawa: WIG-Press 1997.
- Jajuga K.: Miary ryzyka rynkowego - część druga. "Rynek Terminowy" 2000 nr 7, s. 115-121.
- Jajuga K.: Ogólna koncepcja zarządzania ryzykiem finansowym. Wrocław: AE 1999 (maszynopis powielony).
- Rubinstein M., Leland H.E.: Replicating Options with Positions in Stock and Cash. "Financial Analysts Journal" 1981 nr4, s. 113-121.
- Cited by
- ISSN
- 0324-8445
1507-3866 - Language
- pol
