Naslov
Dynamic hedging strategies applied by banks for short positions in currency options

Autori
Pruchnicka-Grabias, Izabela

Izvornik
Bezpieczny Bank (1429-2939) 39 (2009), 2; 103-114

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
hedging strategies; day delta-hedging; delta hedging at fixed period of time; delta tolerance strategy

Sažetak
The paper points at the possibilities of Polish banks to reduce costs of hedging short options positions. A few delta hedging strategies are analysed. These are: every day delta-hedging, delta hedging at fixed period of time, the delta tolerance strategy, hedging to a fixed bandwidth, the underlying asset tolerance strategy. The aim of the author is to show that thanks to applying these strategies, costs of the every day delta hedging can be reduced substantially. Calculations were conducted on the basis of short positions in a put USD/PLN option. Currency rates between 01.10.2007 and 28.12.2007 were taken into consideration. Although the analysis was done in the world where transaction costs exist, some other assumptions from the Black-Scholes environment were made.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

Napomena
Dr. sc. Izabela Pruchnicka-Grabias izvanredna je profesorica na Warsaw School of Economics (Poljska) i vanjska je suradnica na projektu.

POVEZANOST RADA