Simulation hedge investment portfolios through options portfolio
This paper presents two hedging strategies with financial options to mitigate the market risk associated with the future purchase of investment portfolios that exhibit the same behavior as Colombia's COLCAP stock index. The first strategy consists in the purchase of a Call plain vanilla option...
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Format: | EJournal Article |
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Institute of Advanced Engineering and Science,
2019-11-01.
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Online Access: | Get fulltext |
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LEADER | 02092 am a22003133u 4500 | ||
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001 | ijeecs17936_13131 | ||
042 | |a dc | ||
100 | 1 | 0 | |a Jiménez-Gómez, Miguel |e author |
100 | 1 | 0 | |e contributor |
700 | 1 | 0 | |a Acevedo-Prins, Natalia |e author |
700 | 1 | 0 | |a Rojas-López, Miguel David |e author |
245 | 0 | 0 | |a Simulation hedge investment portfolios through options portfolio |
260 | |b Institute of Advanced Engineering and Science, |c 2019-11-01. | ||
500 | |a https://ijeecs.iaescore.com/index.php/IJEECS/article/view/17936 | ||
520 | |a This paper presents two hedging strategies with financial options to mitigate the market risk associated with the future purchase of investment portfolios that exhibit the same behavior as Colombia's COLCAP stock index. The first strategy consists in the purchase of a Call plain vanilla option and the second strategy in the purchase of a Call option and the sale of a Call option. The second strategy corresponds to a portfolio of options called Bull Call Spread. To determine the benefits of hedging and the best strategy, the Geometric Brownian Motion and Monte Carlo simulation is used. The results show that the two hedging strategies manage to mitigate market risk and the best strategy is the first one despite the fact that the Bull Call Spread strategy is lower cost. | ||
540 | |a Copyright (c) 2019 Institute of Advanced Engineering and Science | ||
540 | |a http://creativecommons.org/licenses/by-nc/4.0 | ||
546 | |a eng | ||
690 | |a Simulation | ||
690 | |a simulation, Geometrical Brownian Motion, financial options, hedge | ||
655 | 7 | |a info:eu-repo/semantics/article |2 local | |
655 | 7 | |a info:eu-repo/semantics/publishedVersion |2 local | |
655 | 7 | |2 local | |
786 | 0 | |n Indonesian Journal of Electrical Engineering and Computer Science; Vol 16, No 2: November 2019; 843-847 | |
786 | 0 | |n 2502-4760 | |
786 | 0 | |n 2502-4752 | |
786 | 0 | |n 10.11591/ijeecs.v16.i2 | |
787 | 0 | |n https://ijeecs.iaescore.com/index.php/IJEECS/article/view/17936/13131 | |
856 | 4 | 1 | |u https://ijeecs.iaescore.com/index.php/IJEECS/article/view/17936/13131 |z Get fulltext |