Stock Hedging Using Strangle Strategy on Vanilla Options and Capped Options

Stock Hedging Using Strangle Strategy on Vanilla Options and Capped Options

The financial market often experiences unexpected fluctuations that can impact stock values. Therefore, investors require hedging strategies to protect their investment values from unwanted price fluctuations. This study compares the hedging results using the strangle strategy on Vanilla options an...

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Bibliographic Details
Main Authors: Donny Citra Lesmana, David Vijanarco Martal, Unika Nabila, Syifa Fauzia, Raymond Raymond, Zidni Kamal Hasan, M Ridwan Aprizky
Format: Article
Language:Indonesian
Published: Petra Christian University 2024-05-01
Series:Jurnal Akuntansi dan Keuangan
Subjects:
Black Scholes Merton
capped option
hedging strategy
Monte Carlo simulation
stock value
vanilla option
Online Access:https://jurnalakuntansi.petra.ac.id/index.php/aku/article/view/26362

Internet

https://jurnalakuntansi.petra.ac.id/index.php/aku/article/view/26362

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