The Use of Dynamic Vega Hedging to Mitigate Share Price Risk. Assessment Attempt
The Use of Dynamic Vega Hedging to Mitigate Share Price Risk. Assessment Attempt
Author(s): Jacek PeraSubject(s): Financial Markets, Accounting - Business Administration
Published by: Społeczna Akademia Nauk
Keywords: risk; options; stock options; hedging; dynamic hedging operations; vega; stock exchange;
Summary/Abstract: The aim of the study is to present the possibility and effectiveness of using a dynamic vega hedging transaction to mitigate the risk of share price risk on the Warsaw Stock Exchange. The study assumes the following research hypothesis: a dynamic transaction securing vega hedging effectively hedges the share price risk. The implementation of the hypothesis was based on the use of a modified Black-Scholes model and the method of dynamic hedging indexed with vega index. Selected European call options for the WIG30 index, traded on the Warsaw Stock Exchange in 2015 and 2017, were analysed in detail. As a result of the conducted research, it can be stated that the effectiveness of dynamic hedging vega has increased in limiting the risk of share prices.
Journal: Przedsiębiorczość i Zarządzanie
- Issue Year: 19/2018
- Issue No: 2.2
- Page Range: 377-387
- Page Count: 11
- Language: English