How does traditional option hedging perform in the South African equity market?

Mare, Eben

UPSpace Home
→
Natural and Agricultural Sciences
→
Mathematics and Applied Mathematics
→
Research Articles (Mathematics and Applied Mathematics)
→
View Item

Please note that UPSpace will be unavailable from Friday, 2 May at 18:00 (South African Time) until Sunday, 4 May at 20:00 due to scheduled system upgrades. We apologise for any inconvenience this may cause and appreciate your understanding.

Show simple item record

dc.contributor.author	Mare, Eben
dc.date.accessioned	2010-03-05T06:21:40Z
dc.date.available	2010-03-05T06:21:40Z
dc.date.issued	2009-12
dc.description.abstract	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.	en
dc.identifier.citation	Maré, E 2009, 'How does traditional option hedging perform in the South African equity market', Investment Analysts Journal, no. 70, pp. 27-31.[http://www.journals.co.za/ej/ejour_invest.html]	en
dc.identifier.issn	1029-3523
dc.identifier.uri	http://hdl.handle.net/2263/13321
dc.language.iso	en	en
dc.publisher	Investment Analysts Society of Southern Africa	en
dc.rights	Investment Analysts Society of Southern Africa	en
dc.subject	Equity markets	en
dc.subject.lcsh	Hedging (Finance)	en
dc.subject.lcsh	Stock exchanges -- South Africa	en
dc.subject.lcsh	Derivative securities	en
dc.title	How does traditional option hedging perform in the South African equity market?	en
dc.type	Article	en