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

Mare, Eben2010-03-052010-03-052009-12Maré, 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]1029-3523http://hdl.handle.net/2263/13321Derivative 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.enInvestment Analysts Society of Southern AfricaEquity marketsHedging (Finance)Stock exchanges -- South AfricaDerivative securitiesHow does traditional option hedging perform in the South African equity market?Article