How does traditional option hedging perform in the South African equity market?

dc.contributor.authorMare, Eben
dc.contributor.emaileben.mare@up.ac.zaen
dc.date.accessioned2010-03-05T06:21:40Z
dc.date.available2010-03-05T06:21:40Z
dc.date.issued2009-12
dc.description.abstractDerivative 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.citationMaré, 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.issn1029-3523
dc.identifier.urihttp://hdl.handle.net/2263/13321
dc.language.isoenen
dc.publisherInvestment Analysts Society of Southern Africaen
dc.rightsInvestment Analysts Society of Southern Africaen
dc.subjectEquity marketsen
dc.subject.lcshHedging (Finance)en
dc.subject.lcshStock exchanges -- South Africaen
dc.subject.lcshDerivative securitiesen
dc.titleHow does traditional option hedging perform in the South African equity market?en
dc.typeArticleen

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