Bayesian Inference for Optimal Risk Hedging Strategy Using Put Options With Stock Liquidity
نویسندگان
چکیده
منابع مشابه
Bitcoin Portfolio Hedging Using Protective Put Options
© Dunay et al. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License, which permits unrestricted use, distribution, and redistribution in any medium, provided that the original author and source are credited. Bitcoin is a relatively new and attractive asset. It is used for peer-to-peer transactions and is built upon an interesting system calle...
متن کاملPricing and Hedging Strategy for Options with Default and Liquidity Risk
This study applies fuzzy set theory to the vulnerable Black-Scholes (1973) or Merton (1973) formula. Expectations of heterogeneity mean option prices are expected to be imprecise, thus making it natural to consider fuzziness to handle this. This article presents a fuzzy approach to value Black-Scholes options subject to non-identical rationality and correlated credit risk. Although no analytica...
متن کاملLiquidity Risk Hedging
Long-term bonds are exposed to higher interest-rate risk, or duration, than short-term bonds. Conventional interest-rate risk management prescribes that a firm structure the maturity of its liabilities in order to hedge the duration of its long-term assets (?). By doing so, the firm’s assets and liabilities move in lockstep, and its net equity is shielded from (at least small) movements in inte...
متن کاملDiscrete time hedging with liquidity risk
We study a discrete time hedging and pricing problem in a market with liquidity costs. Using Leland’s discrete time replication scheme [Leland, H.E., 1985. Journal of Finance, 1283–1301], we consider a discrete time version of the Black–Scholes model and a delta hedging strategy. We derive a partial differential equation for the option price in the presence of liquidity costs and develop a modi...
متن کاملManaging Value at Risk Using Put Options
A natural approach to reducing the risk of a position in stock, is by buying put options on the underlying. We consider a model where the Value at Risk is taken as measure of risk, in the framework of the BlackScholes model. We show a method for the choice of the optimal strike price of the options, and provide an analytic formula for the optimal Value at Risk, for arbitrary hedging expenditure...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IEEE Access
سال: 2019
ISSN: 2169-3536
DOI: 10.1109/access.2019.2946260