Alghalith, Moawia; Floros, Christos; Lalloo, Ricardo - In: The Journal of Risk Finance 16 (2015) 2, pp. 190-196
Purpose – The purpose of this paper is to empirically test dynamic hedging, using data from the FTSE-100 and Standard … increase in the price volatility reduces the hedged FTSE-100 (S&P 500) by 645.62 (777.07) units. Similarly, a one unit increase … in basis risk reduces the hedged FTSE-100 (S&P 500) by 403.57 (378.54) units. The authors’ approach shows that risk …