Research for performance and sensitivity of covered warrants hedging strategies with transaction cost and constant volatility in China market
With development of economy, covered warrant has been the most popular derivatives in China financial market. Choosing and appropriate hedging strategy is very important for the issuers of covered warrant avoid risk and get profit. The famous Black-Scholes model is the most widely used model for opt...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/25441/ |
| _version_ | 1848792980730675200 |
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| author | SHI, YUE |
| author_facet | SHI, YUE |
| author_sort | SHI, YUE |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | With development of economy, covered warrant has been the most popular derivatives in China financial market. Choosing and appropriate hedging strategy is very important for the issuers of covered warrant avoid risk and get profit. The famous Black-Scholes model is the most widely used model for option pricing and hedging. However, because of the existence of transaction costs and it is unrealistic to hedge continuously in the real world, the Black-Scholes model and the delta dynamic hedging strategy which based on the Black-Scholes model are no longer effective. Thus this paper discussed and simulated 6 alternative discrete hedging strategies in evidence.
In order to choose an optimum hedging strategies, this paper focuses on researching performance and sensibility of these discrete hedging strategies with covered warrant of China Merchants Bank. This paper evaluates the hedging performance with measures of total hedging cost, net cash flow and yield rate. And this paper analyzed sensibility of 6 hedging strategies for hedging interval, volatility, strike price and hedging area. |
| first_indexed | 2025-11-14T18:53:02Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25441 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:53:02Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-254412017-12-29T02:45:45Z https://eprints.nottingham.ac.uk/25441/ Research for performance and sensitivity of covered warrants hedging strategies with transaction cost and constant volatility in China market SHI, YUE With development of economy, covered warrant has been the most popular derivatives in China financial market. Choosing and appropriate hedging strategy is very important for the issuers of covered warrant avoid risk and get profit. The famous Black-Scholes model is the most widely used model for option pricing and hedging. However, because of the existence of transaction costs and it is unrealistic to hedge continuously in the real world, the Black-Scholes model and the delta dynamic hedging strategy which based on the Black-Scholes model are no longer effective. Thus this paper discussed and simulated 6 alternative discrete hedging strategies in evidence. In order to choose an optimum hedging strategies, this paper focuses on researching performance and sensibility of these discrete hedging strategies with covered warrant of China Merchants Bank. This paper evaluates the hedging performance with measures of total hedging cost, net cash flow and yield rate. And this paper analyzed sensibility of 6 hedging strategies for hedging interval, volatility, strike price and hedging area. 2012-04-30 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25441/1/Dissertation.pdf SHI, YUE (2012) Research for performance and sensitivity of covered warrants hedging strategies with transaction cost and constant volatility in China market. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | SHI, YUE Research for performance and sensitivity of covered warrants hedging strategies with transaction cost and constant volatility in China market |
| title | Research for performance and sensitivity of covered warrants hedging strategies with transaction cost and constant volatility in China market |
| title_full | Research for performance and sensitivity of covered warrants hedging strategies with transaction cost and constant volatility in China market |
| title_fullStr | Research for performance and sensitivity of covered warrants hedging strategies with transaction cost and constant volatility in China market |
| title_full_unstemmed | Research for performance and sensitivity of covered warrants hedging strategies with transaction cost and constant volatility in China market |
| title_short | Research for performance and sensitivity of covered warrants hedging strategies with transaction cost and constant volatility in China market |
| title_sort | research for performance and sensitivity of covered warrants hedging strategies with transaction cost and constant volatility in china market |
| url | https://eprints.nottingham.ac.uk/25441/ |