Feedback effects from dynamic hedging on selected stocks: an empirical analysis in the Swiss stock market
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Bern [u.a.]
Haupt
2001
|
| Series: | Bank- und finanzwirtschaftliche Forschungen
328 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XV, 170 S. graph. Darst. |
| ISBN: | 3258063745 |
Staff View
MARC
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| 035 | |a (DE-599)BVBBV013779198 | ||
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| 100 | 1 | |a Kubli, Heinz |d 1969- |e Verfasser |0 (DE-588)12294061X |4 aut | |
| 245 | 1 | 0 | |a Feedback effects from dynamic hedging on selected stocks |b an empirical analysis in the Swiss stock market |c Heinz Kubli |
| 264 | 1 | |a Bern [u.a.] |b Haupt |c 2001 | |
| 300 | |a XV, 170 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Bank- und finanzwirtschaftliche Forschungen |v 328 | |
| 502 | |a Zugl.: Zürich, Univ., Diss., 2001 | ||
| 650 | 4 | |a Hedging (Finance) |z Switzerland | |
| 650 | 4 | |a Stocks |z Switzerland | |
| 650 | 0 | 7 | |a Optionspreistheorie |0 (DE-588)4135346-8 |2 gnd |9 rswk-swf |
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| 650 | 0 | 7 | |a Aktienmarkt |0 (DE-588)4130931-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Hedging |0 (DE-588)4123357-8 |2 gnd |9 rswk-swf |
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-009419761 | |
Record in the Search Index
| _version_ | 1808227491916021760 |
|---|---|
| adam_text |
CONTENT
AND
LISTS
IX
CONTENT
OVERVIEW
CONTENT
OVERVIEW
IX
TABLE
OF
CONTENT
X
LIST
OF
FIGURES
.
XIII
LIST
OF
TABLES
.
XIV
LIST
OF
PROGRAMS
XV
PART
I:
THEORY
AND
HEDGE
ERROR
SIMULATIONS
1.
INTRODUCTION.
.
.
1
2.
BLACK-SCHOLES
PRICING
FORMULAS
.
7
3.
GREEKS.
.
9
4.
VOLATILITY
.
29
5.
RANDOM
WALK.
.39
6.
HEDGING.
43
7.
HEDGING
ERROR
SIMULATIONS
.
49
8.
CONSIDERATIONS
ON
HEDGING
ERRORS
77
9.
TRADING
RULES
.
85
10.
DYNAMIC
ASSET
ALLOCATION
.
89
PART
II:
EMPIRICAL
ANALYSES
11.
DATA
SOURCES
.
99
12.
FEEDBACK
EFFECTS.
107
13.
FEEDBACK
EFFECTS
-
EMPIRICAL
RESULTS
.
119
APPENDICES.
.
143
BIBLIOGRAPHY.
.
163
X
CONTENT
AND
LISTS
TABLE
OF
CONTENT
1.
INTRODUCTION
1
1.1
STANDARD
DERIVATIVE
PRICING
THEORY
AND
NEWER
MODELS
2
1.2
DEFINITIONS
.
3
1.3
PROCESSING
.
4
2.
BLACK-SCHOLES
PRICING
FORMULAS
7
3.
GREEKS
9
3.1
DELTA
10
3.1.1
DEFINITION
OF
DELTA
12
3.1.2
DYNAMICS
OF
DELTA
_
_
14
3.1.3
PUT-CALL-PARITY.
.
16
3.1.4
DELTA
POSITIONS
VERSUS
CONTRACT
POSITIONS
17
3.2
GAMMA
.
18
3.2.1
DEFINITION
OF
GAMMA
.
18
3.2.2
DYNAMICS
OF
GAMMA
19
3.3
THETA
.
Z
Z
'
'Z
'
'
'ZZZ
Z'ZZZZZZ
'
20
3.3.1
DEFINITION
OF
THETA
.
21
3.3.2
DYNAMICS
OF
THETA.
.
22
3.4
RELATIONSHIP
BETWEEN
DELTA,
THETA
AND
GAMMA
.
24
3.5
VEGA
.
25
3.6
RHO
.
26
4.
VOLATILITY.
29
4.1
RETURN
DISTRIBUTION
.
31
4.2
HISTORICAL
VOLATILITY.
.
34
4.3
EXPONENTIALLY-WEIGHTED
HISTORICAL
VOLATILITY.
36
4.4
REALISED
OR
ACTUAL
VOLATILITY.
37
4.5
IMPLIED
VOLATILITY
.
38
4.6
FORECASTED
VOLATILITY
.
38
4.7
THEORETICAL
VOLATILITY.
.
38
5.
RANDOM
WALK
.
.39
6.
HEDGING
.
.43
6.1
HEDGE
INTENTION
.
43
6.2
COVERED
AND
DYNAMICALLY
HEDGED
WARRANTS.
43
6.3
BLACK-SCHOLES
REPLICATING
PORTFOLIO
AND
DELTA
HEDGING
.
44
6.3.1
DELTA
HEDGING
.
44
6.3.2
VARIATIONS
OF
REBALANCING
.
47
CONTENT
AND
LISTS
XI
7.
HEDGING
ERROR
SIMULATIONS
.
.49
7.1
DERIVATION
OF
THE
HEDGING
ERROR
.
.
.49
7.2
MONTE
CARLO
SIMULATIONS
OF
HEDGING
ERRORS
.
50
7.2.1
REHEDGING
ONCE
A
DAY,
ONCE
A
WEEK,
.
59
7.2.2
REHEDGING,
WHEN
DELTA
HAS
CHANGED
X
DELTAS
.
63
7.2.3
REBALANCING,
WHEN
STOCK
HAS
MOVED
X
CURRENCY
UNITS
.
67
7.3
GAMMA
TRADING.
.
72
7.4
VEGA
TRADING
.
76
8.
CONSIDERATIONS
ON
HEDGING
ERRORS.
.
77
8.1
OUTLIERS
AND
SKEWNESS.
.
77
8.2
TRANSACTION
COSTS
79
9.
TRADING
RULES.
.85
9.1
GENERAL
OPTIMISATION.
.
85
9.2
OPTIMIZING
GAMMA
TRADING
.
86
9.3
OPTIMIZATION
FOR
THE
WARRANTS
MARKET
MAKER.
.
86
9.4
CONSEQUENCE
OF
TRADING
RULES.
87
10.
DYNAMIC
ASSET
ALLOCATION
.
.89
10.1
CONSTANT-MIX
STRATEGY
.
89
10.2
PORTFOLIO
INSURANCE
.
92
10.2.1
CONSTANT
PROPORTION
PORTFOLIO
INSURANCE.
.
92
10.2.2
OPTION-BASED
PORTFOLIO
INSURANCE
.
94
10.3
SUMMARY
OF
DYNAMIC
ASSET
ALLOCATION
AND
THE
RELATION
TO
THE
DYNAMIC
HEDGING
OF
OPTIONS
.
97
11.
DATA
SOURCES
.
.99
11.1
WARRANTS
.
99
11.1.1
INDIVIDUAL
ADJUSTMENTS
PER
UNDERLYING
.
.99
11.1.2
ESTIMATION
OF
WARRANTS
AMOUNT
OUTSTANDING
.
102
11.1.3
RELIABILITY
OF
WARRANTS
DATA.
.
.
104
11.2
DIVIDENDS
.
104
11.3
INTEREST
RATES
.
104
11.4
IMPLIED
VOLATILITIES
.
105
11.5
VOLUMES.
106
XII
CONTENT
AND
LISTS
12.
FEEDBACK
EFFECTS
.
107
12.1
PROBLEM
SET
.
.107
12.2
INTERDEPENDENCE
OF
VOLUMES,
DELTA
AND
RETURN
.
108
12.3
MEASURING
FEEDBACK
EFFECTS.
.
.111
12.3.1
EVENTS
DEFINITIONS.
.
111
12.3.2
EVENT
WINDOWS
.
115
12.3.3
MEASURING
ABNORMAL
RETURNS
.
116
12.3.4
SUMMARY
OF
HYPOTHESIS
.
.
116
12.3.4.1
LISTING.
.
116
12.3.4.2
EXPIRATION.
.
117
12.3.4.3
LARGE
AGGREGATED
MARKET
GAMMA
.
118
13.
FEEDBACK
EFFECTS
-
EMPIRICAL
RESULTS.
119
13.1
LISTING
EFFECTS
.
.119
13.2
EXPIRATION
EFFECTS.
.
.
125
13.3
LARGE
AGGREGATED
MARKET
GAMMA
EFFECTS
.
133
13.4
CONCLUSIONS
.
137
13.5
COMPARABLE
STUDIES
.
.138
13.5.1
LISTING
OF
EQUITY
FUTURES
.
138
13.5.2
EXPIRATION
OF
EQUITY
FUTURES.
.
139
13.5.3
LISTING
OF
EQUITY
OPTIONS
.
139
13.5.4
LISTING
OF
EQUITY
WARRANTS
.
140
13.6
FURTHER
ISSUES
.
140
APPENDIX
A:
PROFIT
AND
LOSS
HISTOGRAMS
FROM
THE
REPLICATING
PORTFOLIO
.
143
APPENDIX
B:
MATHEMATICA
CODES
FOR
HEDGE
ERROR
SIMULATIONS.
157
BIBLIOGRAPHY
.
.163
CITED
LITERATURE
WITH
QUOTED
AUTHOR
.
163
CITED
LITERATURE
WITHOUT
QUOTED
AUTHOR.
.
169
CITED
HOMEPAGES
.
170 |
| any_adam_object | 1 |
| author | Kubli, Heinz 1969- |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/228 |
| dewey-search | 332.63/228 |
| dewey-sort | 3332.63 3228 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| geographic | Schweiz Schweiz (DE-588)4053881-3 gnd |
| geographic_facet | Schweiz |
| id | DE-604.BV013779198 |
| illustrated | Illustrated |
| indexdate | 2024-08-24T00:41:56Z |
| institution | BVB |
| isbn | 3258063745 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009419761 |
| oclc_num | 48267661 |
| open_access_boolean | |
| owner | DE-12 DE-188 |
| owner_facet | DE-12 DE-188 |
| physical | XV, 170 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Haupt |
| record_format | marc |
| series | Bank- und finanzwirtschaftliche Forschungen |
| series2 | Bank- und finanzwirtschaftliche Forschungen |
| spelling | Kubli, Heinz 1969- Verfasser (DE-588)12294061X aut Feedback effects from dynamic hedging on selected stocks an empirical analysis in the Swiss stock market Heinz Kubli Bern [u.a.] Haupt 2001 XV, 170 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bank- und finanzwirtschaftliche Forschungen 328 Zugl.: Zürich, Univ., Diss., 2001 Hedging (Finance) Switzerland Stocks Switzerland Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Aktienoptionshandel (DE-588)4134691-9 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Schweiz Schweiz (DE-588)4053881-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Schweiz (DE-588)4053881-3 g Aktienmarkt (DE-588)4130931-5 s Aktienoptionshandel (DE-588)4134691-9 s Hedging (DE-588)4123357-8 s Optionspreistheorie (DE-588)4135346-8 s DE-604 Bank- und finanzwirtschaftliche Forschungen 328 (DE-604)BV023546687 328 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009419761&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kubli, Heinz 1969- Feedback effects from dynamic hedging on selected stocks an empirical analysis in the Swiss stock market Bank- und finanzwirtschaftliche Forschungen Hedging (Finance) Switzerland Stocks Switzerland Optionspreistheorie (DE-588)4135346-8 gnd Aktienoptionshandel (DE-588)4134691-9 gnd Aktienmarkt (DE-588)4130931-5 gnd Hedging (DE-588)4123357-8 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4134691-9 (DE-588)4130931-5 (DE-588)4123357-8 (DE-588)4053881-3 (DE-588)4113937-9 |
| title | Feedback effects from dynamic hedging on selected stocks an empirical analysis in the Swiss stock market |
| title_auth | Feedback effects from dynamic hedging on selected stocks an empirical analysis in the Swiss stock market |
| title_exact_search | Feedback effects from dynamic hedging on selected stocks an empirical analysis in the Swiss stock market |
| title_full | Feedback effects from dynamic hedging on selected stocks an empirical analysis in the Swiss stock market Heinz Kubli |
| title_fullStr | Feedback effects from dynamic hedging on selected stocks an empirical analysis in the Swiss stock market Heinz Kubli |
| title_full_unstemmed | Feedback effects from dynamic hedging on selected stocks an empirical analysis in the Swiss stock market Heinz Kubli |
| title_short | Feedback effects from dynamic hedging on selected stocks |
| title_sort | feedback effects from dynamic hedging on selected stocks an empirical analysis in the swiss stock market |
| title_sub | an empirical analysis in the Swiss stock market |
| topic | Hedging (Finance) Switzerland Stocks Switzerland Optionspreistheorie (DE-588)4135346-8 gnd Aktienoptionshandel (DE-588)4134691-9 gnd Aktienmarkt (DE-588)4130931-5 gnd Hedging (DE-588)4123357-8 gnd |
| topic_facet | Hedging (Finance) Switzerland Stocks Switzerland Optionspreistheorie Aktienoptionshandel Aktienmarkt Hedging Schweiz Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009419761&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023546687 |
| work_keys_str_mv | AT kubliheinz feedbackeffectsfromdynamichedgingonselectedstocksanempiricalanalysisintheswissstockmarket |