How does traditional option hedging perform in the South African equity market?
| dc.contributor.author | Mare, Eben | |
| dc.contributor.email | eben.mare@up.ac.za | en |
| dc.date.accessioned | 2010-03-05T06:21:40Z | |
| dc.date.available | 2010-03-05T06:21:40Z | |
| dc.date.issued | 2009-12 | |
| dc.description.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. | en |
| dc.identifier.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] | en |
| dc.identifier.issn | 1029-3523 | |
| dc.identifier.uri | http://hdl.handle.net/2263/13321 | |
| dc.language.iso | en | en |
| dc.publisher | Investment Analysts Society of Southern Africa | en |
| dc.rights | Investment Analysts Society of Southern Africa | en |
| dc.subject | Equity markets | en |
| dc.subject.lcsh | Hedging (Finance) | en |
| dc.subject.lcsh | Stock exchanges -- South Africa | en |
| dc.subject.lcsh | Derivative securities | en |
| dc.title | How does traditional option hedging perform in the South African equity market? | en |
| dc.type | Article | en |