Long Strangle Strategy Using Barrier Options and its Application in Hedging Against a Price Increase
Abstract This paper presents hedging analysis against an underlying price increase by using Long Strangle strategy formed with vanilla and barrier options. More specifically, up and knock-in call option and standard barrier put options are used. The main theoretical contribution is to specify profit functions for this strategy followed by derivation of cost functions for secured position. The strategy is applied to real option data for SPDR Gold Shares (GLD). The costs of options in strategy to form secured position are investigated for different values of barriers with fixed strike prices. Furthermore, the mutual effect of variation in requested costs or call/put option strike price or call option barrier is analysed.
Risk Management in Energy Sector Using Short Call Ladder Strategy
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 assetÂ´s price development.
Brauer groups of genus zero extensions of number fields
We determine the isomorphism class of the Brauer groups of certain nonrational genus zero extensions of number fields. In particular, for all genus zero extensions E of the rational numbers Q that are split by Q(√2), Br(E) ≅ Br(Q(t)).