n Investment Analysts Journal - How does traditional option hedging perform in the South African equity market?
|Article Title||How does traditional option hedging perform in the South African equity market?|
|© Publisher:||Taylor & Francis|
|Journal||Investment Analysts Journal|
|Publication Date||Jan 2009|
|Pages||27 - 31|
ISI Social Science
Derivative 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.
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