Un modelo de alerta para la gestión del riego en la emisión de opciones call sobre el IBEX-35
- Cossío Silva, F. J. (coord.)
Publisher: Escuela Superior de Gestión Comercial y Marketing, ESIC
ISBN: 978-84-7356-609-4
Year of publication: 2009
Congress: Asociación Europea de Dirección y Economía de Empresa. Congreso Nacional (23. 2009. Sevilla)
Type: Conference paper
Abstract
This paper analyses the possibilities of forming replicating portfolio and establishing a hedge strategy based on neutral delta. The idea is based on a study of the degree of risk to which the issuers of call options on the IBEX- 35 stock index are exposed. The goal is to design a model that alerts issuers to an increase in risk. Several useful indicators based on this model are tested. After a computer simulation of gains and losses of different hedge strategies, with primary and transformed mathematics equations, and a filter analysis to delta, gamma and modified gamma parameters, we compare the results obtained. Finally, we recommend a valuable tool for managing the risk of call options issues as a dynamic hedge strategy with replicating portfolio.