How does traditional option hedging perform in the South African equity market?
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Date
Authors
Mare, Eben
Journal Title
Journal ISSN
Volume Title
Publisher
Investment Analysts Society of Southern Africa
Abstract
Derivative securities are frequently priced within the Black-Scholes methodology. Theoretically this entails maintaining a hedge
consisting of the underlying asset and cash which needs to be rebalanced continuously. In practice, traders would only rebalance such hedges on a discrete basis. We examine the effects of discrete rebalancing of derivative hedges written on the FTSE/JSE TOP40 index.
Description
Keywords
Equity markets
Sustainable Development Goals
Citation
Maré, E 2009, 'How does traditional option hedging perform in the South African equity market', Investment Analysts Journal, no. 70, pp. 27-31.[http://www.journals.co.za/ej/ejour_invest.html]