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Stock Hedging Using Strangle Strategy on Vanilla Options and Capped Options

The financial market often experiences unexpected fluctuations that can impact stock values. Therefore, investors require hedging strategies to protect their investment values from unwanted price fluctuations. This study compares the hedging results using the strangle strategy on Vanilla options an...

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Principais autores: Donny Citra Lesmana, David Vijanarco Martal, Unika Nabila, Syifa Fauzia, Raymond Raymond, Zidni Kamal Hasan, M Ridwan Aprizky
Formato: Artigo
Idioma:Indonésio
Publicado em: Petra Christian University 2024-05-01
Colecção:Jurnal Akuntansi dan Keuangan
Assuntos:
Black Scholes Merton
capped option
hedging strategy
Monte Carlo simulation
stock value
vanilla option
Acesso em linha:https://jurnalakuntansi.petra.ac.id/index.php/aku/article/view/26362
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