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DKUM
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Title:
Financial derivatives trading and delta hedging
Authors:
ID
Mastinšek, Miklavž
(Author)
Files:
http://www.dlib.si/details/URN:NBN:SI:DOC-JRGU17BG
Language:
English
Work type:
Not categorized
Typology:
1.01 - Original Scientific Article
Organization:
EPF - Faculty of Business and Economics
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
Publisher:
Društvo ekonomistov Maribor
Year of publishing:
2011
Number of pages:
str. 10-15
Numbering:
Letn. 57, št. 3/4
PID:
20.500.12556/DKUM-52289
UDC:
336.01:338.5
ISSN on article:
0547-3101
COBISS.SI-ID:
10733084
NUK URN:
URN:SI:UM:DK:WJXM3W6X
Publication date in DKUM:
10.07.2015
Views:
1210
Downloads:
47
Metadata:
Categories:
Misc.
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Record is a part of a journal
Title:
Naše gospodarstvo : revija za aktualna gospodarska vprašanja
Shortened title:
Naše gospod.
Publisher:
Ekonomsko-poslovna fakulteta, Društvo ekonomistov Maribor, Ekonomski center Maribor
ISSN:
0547-3101
COBISS.SI-ID:
751364
Secondary language
Language:
Slovenian
Title:
Trgovanje z izvedenimi finančnimi instrumenti ter delta hedging
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.
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