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.
Call Ladder strategy and its application in trading and hedging
The paper presents a new approach to the formation of Short Call Ladder (SCL) strategy based on the functions of profit. An optimal algorithm for the use of this strategy in trading is introduced as well. Furthermore, this paper is focused on the application of Short Call Ladder strategy in hedging against a price rise of the underlying asset. In the end, the results are compared with the results of hedging obtained by Short Combo and Vertical Ratio Call Back Spread option strategy.
Mineral element analyses of various tropical forages in Guatemala and their relationship to soil concentrations
Determination de la composition minerale de differents fourrages dans 3 regions d'elevage du Guatemala et etude des relations entre la chimie des sols et la composition minerale des fourrages