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2009 | nr 2 (39) | 103--114
Tytuł artykułu

Dynamic Hedging Strategies Applied by Banks for Short Positions in Currency Options

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Języki publikacji
On the Polish market there are two ways of hedging short option positions by banks, that is taking the opposite position in a similar option or a so called delta-hedging which means buying the appropriate amount of the underlying asset. The first one is the example of the static hedging, so it will not be discussed in the paper. The most popular way of hedging short option positions is delta-hedging. It was proposed by Fisher Black and Myron Scholes. It is based on the construction of the risk-free portfolio that consists of an option and the proper amount of an underlying asset that will compensate for losses generated on the option. (fragment of text)
Opis fizyczny
  • Black F., Scholes M., The pricing of options and corporate liabilities, "Journal of Political Economy" 1973, No. 87, May/June, 1973.
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  • Henrotte P., Transaction Costs and Duplication Strategies, Working Paper, Stanford University and HEC, 1993.
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  • Martellini L., Priaulet P., Competing Methods for Option Hedging in the Presence of Transaction Costs, Journal of Derivatives 2002, 9(3).
  • Mastinsek M., Discrete-time delta hedging and the Black-Scholes model with transaction costs, Mathematical Methods of Operations Research, nr 64, 2006.
  • Whalley A. E., Wilmott P., Counting the Costs, Risk, nr 6, 1993.
  • Zakamouline V. I., Dynamic Hedging of Complex Option Positions with Transaction Costs, Working Paper, Agder University College, February 2006.
  • Data from the internet page:
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