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Showing 1 to 3 of 3 for “"Hedging Cost"”.
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Hedging Cost Analysis of Put Option with Applications to Variable Annuities
… insurer and need to be hedged. Among different hedging strategies, move-based discrete hedging strategies are widely adopted in practice but the cost analysis for move-based discrete hedging strategies are mathematically complex. In this thesis, we first examine various move-based hedging …
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Applications of Applied Econometrics in the Food and Health Economic and Agribusiness Topics
… of doctors. The second essay evaluates the cost of a price risk management tool called futures hedging. A variety of measures illustrate considerable changes in hedging costs over time. Quantile regression results show that substantial price volatility and high margin requirements are the …
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Patterns and Determinants of the Intraday Bid-Ask Spread and Depth of CBOE Equity Options
… the underlying stock price is a proxy for the hedging costs incurred by option writers. We also discover that option depth is driven by many of the same factors that affect option spread, but the effects are mostly opposite in direction and the collective explanatory power of them for option …