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Author:Anttila, Dan Walter
Title:Trading Variance
Kaupankäynti varianssilla
Publication type:Master's thesis
Publication year:2013
Pages:53 s. + liitt.      Language:   eng
Department/School:Sähkötekniikan korkeakoulu
Main subject:Automaatio- ja systeemitekniikka   (AS3001)
Supervisor:Zenger, Kai
Instructor:Selkäinaho, Jorma
Electronic version URL: http://urn.fi/URN:NBN:fi:aalto-201308247640
OEVS:
Electronic archive copy is available via Aalto Thesis Database.
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Location:P1 Ark Aalto  5219   | Archive
Keywords:delta hedging
variance swap
option pricing
deltasuojaus
varianssiswap
optiohinnoittelu
Abstract (eng):A common assumption in option pricing theory is that it is possible to own an option and hedge away the risk from the direction of the underlying asset's price.
The return from such a strategy will in theory only depend on the realized variance of the underlying asset.

In practice, the return is affected by other factors as well, for example the path that the asset's price takes.
The objective of this thesis is to describe the factors that should be taken into consideration when delta hedging an option.
Delta hedging a certain option portfolio is suggested as a means to get better delta hedging results in practice.

In the empirical part, the suggested option portfolio is built in Matlab.
Its features are examined.
The results from delta hedging a single option and delta hedging an option portfolio are examined by simulation.
Abstract (fin):Optiohinnoittelussa yleinen oletus on, että on mahdollista omistaa optio ja deltasuojata pois riski kohde-etuuden hinnan muutosten suunnasta.
Teorian mukaan tällaisen position tuotto riippuu ainoastaan toteutuneesta varianssista, eli heilahteluista kohdeetuuden hinnassa.

Käytännössä tulokseen vaikuttaa muun muassa polku, jota rahoitusinstrumentin hinta seuraa periodin aikana.
Tässä diplomityössä kuvataan tämä polkuriippuvuus ja muut tärkeät tekijät, jotka vaikuttavat tulokseen, kun deltasuojataan optiota.
Teoriaosan lopussa kuvataan, miten tulosta voidaan yrittää parantaa käytännössä deltasuojaamalla yhden option sijaan tiettyä optioportfoliota.

Empiirisessä osassa muodostetaan teorian mukainen optioportfolio Matlabissa ja tarkastellaan tämän ominaisuuksia.
Simuloinnin avulla verrataan tuloksia yhden option ja optioportfolion deltasuojaamisesta.
ED:2013-12-02
INSSI record number: 48042
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