IDEAS home Printed from https://ideas.repec.org/h/spr/eurchp/978-3-319-54112-9_4.html
   My bibliography  Save this book chapter

Gamma-Hedging of Warrants: Evidence from Frankfurt Stock Exchange

In: Regional Studies on Economic Growth, Financial Economics and Management

Author

Listed:
  • Hana Florianova

    (Masaryk University)

Abstract

Gamma-hedging is a useful strategy to reduce risk of a portfolio consisting of financial derivatives and shares. This paper investigates portfolios consisting of European type warrants and shares of world-known companies. Currently traded assets on the Frankfurt Stock Exchange are used to compose portfolios. In theory, gamma-neutral portfolios should be immune even to significant changes of underlying assets’ price but real markets may not support this fact. We find trading strategy similar to protective collar. Since our strategy is intended for decreasing price of an underlying asset, we test the hypothesis that alternative collar strategy is profitable for decreasing shares and losing for increasing shares. We test it on three kinds of shares—decreasing BMW, increasing Adidas and stagnating Telekom. Our results are that gamma-hedging in our scenario has positive impact on decreasing portfolio’s risk, our trading strategy brings profit and it is verified on real financial markets.

Suggested Citation

  • Hana Florianova, 2017. "Gamma-Hedging of Warrants: Evidence from Frankfurt Stock Exchange," Eurasian Studies in Business and Economics, in: Mehmet Huseyin Bilgin & Hakan Danis & Ender Demir & Ugur Can (ed.), Regional Studies on Economic Growth, Financial Economics and Management, pages 51-61, Springer.
    • Handle: RePEc:spr:eurchp:978-3-319-54112-9_4
    DOI: 10.1007/978-3-319-54112-9_4
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:eurchp:978-3-319-54112-9_4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.