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Risk Management in Energy Sector Using Short Call Ladder Strategy

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  • Monika Harcarikova
  • Michal Soltes

Abstract

The purpose of the paper is to focus on selected aspects of the hedging using of Short Call Ladder strategy created by barrier options. Given barrier option strategies belong to the appropriate tools widely used for risk management with an effective solution for limiting the loss from underlying asset´s price development.

Suggested Citation

  • Monika Harcarikova & Michal Soltes, 2016. "Risk Management in Energy Sector Using Short Call Ladder Strategy," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 12(3), pages 39-54.
    • Handle: RePEc:mje:mjejnl:v:12:y:2016:i:3:p:39-54
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    References listed on IDEAS

    as
    1. Bajo, Emanuele & Barbi, Massimiliano & Romagnoli, Silvia, 2014. "Optimal corporate hedging using options with basis and production risk," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 56-71.
    2. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    3. Masahiro Nishiba, 2013. "Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 147-182, May.
    4. Annaert, Jan & Deelstra, Griselda & Heyman, Dries & Vanmaele, Michèle, 2007. "Risk management of a bond portfolio using options," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 299-316, November.
    5. Guay, Wayne & Kothari, S. P, 2003. "How much do firms hedge with derivatives?," Journal of Financial Economics, Elsevier, vol. 70(3), pages 423-461, December.
    6. repec:dau:papers:123456789/12110 is not listed on IDEAS
    7. 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.
    8. Kristine Watson Hankins, 2011. "How Do Financial Firms Manage Risk? Unraveling the Interaction of Financial and Operational Hedging," Management Science, INFORMS, vol. 57(12), pages 2197-2212, December.
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