Analysis of Nova 1 strategy formed by barrier options and its application in hedging against a price drop in oil market
This paper investigates hedging analysis against an underlying price drop by using the Nova 1 strategy formed by standard vanilla and barrier options. There are used European down and knock-in put options together with barrier call options. Derived income functions from the secured positions in ana...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Technical University of Kosice
2015-12-01
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| Series: | Acta Montanistica Slovaca |
| Subjects: | |
| Online Access: | http://actamont.tuke.sk/pdf/2015/n4/7soltes.pdf |