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Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes

Author

Listed:
  • Francois-Éric Racicot

    (Département des sciences administratives, Université du Québec (Outaouais) et LRSP)

  • Raymond Théoret

    (Département de stratégie des affaires, Université du Québec (Montréal))

Abstract

Plusieurs gestionnaires de portefeuille pensent encore à tort qu’une couverture delta suffit pour protéger leur portefeuille contre les fluctuations des marchés financiers. Mais une augmentation marquée de la volatilité des cours boursiers les décevra dans leurs attentes. Après avoir exposé les rudiments mathématiques de l’équation de Black et Scholes, cet article présente des simulations inédites dans Excel de la couverture delta et de la couverture delta-gamma basées sur la formule de Black et Scholes. On y constate que la couverture delta-gamma est de loin préférable à une simple couverture delta.

Suggested Citation

  • Francois-Éric Racicot & Raymond Théoret, 2006. "Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes," RePAd Working Paper Series UQO-DSA-wp122006, Département des sciences administratives, UQO.
    • Handle: RePEc:pqs:wpaper:122006
    as

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    File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/ArticlehedgingFERRTjuin2006.pdf
    File Function: First version, 2006
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    References listed on IDEAS

    as
    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    2. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
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    More about this item

    Keywords

    Ingénierie financière; produits dérivés; couverture.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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