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Design and Back-Testing of a Systematic Delta-Hedging Strategy in FX Options Space

Sorokin, Valery - 2016

This paper describes design and back-testing of an automated delta-hedging strategy applied to short-dated fx options … options Sharpe ratio significantly depends on the day of week on which the algorithm systematically sells options: delta-hedging … of options sold on Thursdays results in highest Sharpe ratio; delta-hedging of options sold on Fridays results in second …

Persistent link: https://www.econbiz.de/10012991760

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - In: Journal of financial economics 142 (2021) 1, pp. 23-45

Persistent link: https://www.econbiz.de/10012650655

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …

Persistent link: https://www.econbiz.de/10013224964

Case study of event risk management with options strangles and straddles

Kownatzki, Clemens; Putnam, Bluford H.; Yu, Arthur Zeyang - In: Review of financial economics : RFE 40 (2022) 2, pp. 150-167

Persistent link: https://www.econbiz.de/10013185897

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian - 2019

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …

Persistent link: https://www.econbiz.de/10012480268

Performance of two zero-cost derivative strategies under different market conditions

Basson, L. J.; van den Berg, Lee; Van Vuuren, Gary - In: Cogent economics & finance 6 (2018) 1, pp. 1-17

Zero-cost collars are option-based strategies which-by matching prices received and paid for the component derivatives-provide costless protection for stock or index investments. The investors’ risk appetite determines a return floor by selecting a relevant put strike and the associated call...

Persistent link: https://www.econbiz.de/10011905950