Financial derivatives trading and delta hedging

Abstract

In financial derivatives markets different strategies for reduction of risk can be applied. This is especially important in times of financial crisis when more regulation of trading with risky instruments is needed. In this article the well known technique of delta hedging used in derivatives markets is considered. It is shown that for the appropriately adjusted delta the average hedging loss and the expected transaction costs can be reduced.

Keywords

finančni instrumenti;izvedeni finančni instrumenti;hedging;transakcije;stroški;

Data

Language:	English
Year of publishing:	2011
Typology:	1.01 - Original Scientific Article
Organization:	UM EPF - Faculty of Economics and Business
Publisher:	Društvo ekonomistov Maribor
UDC:	336.01:338.5
COBISS:	10733084
ISSN:	0547-3101
Parent publication:	Naše gospodarstvo
Views:	298
Downloads:	19
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	Slovenian
Secondary title:	Trgovanje z izvedenimi finančnimi instrumenti ter delta hedging
Secondary abstract:	Na trgih z izvedenimi finančnimi instrumenti se lahko uporabijo različne strategije za zmanjšanje tveganja. To je posebej pomembno v času finančne krize, ko nastopi potreba po dodatnem nadzoru oz. reguliranju trgovanja s tveganimi instrumenti. V članku je obravnavana dobro znana metoda, imenovana delta hedging, ki se dnevno uporablja na trgih izvedenih finančnih instrumentov. Pokazano je, da je mogoče s primerno prilagojenim številom delta znižati tako povprečno izgubo kot tudi pričakovane transakcijske stroške.
URN:	URN:NBN:SI:DOC-JRGU17BG
Type (COBISS):	Not categorized
Pages:	str. 10-15
Volume:	Letn. 57
Issue:	št. 3/4
Chronology:	2011
ID:	1728689