The full text of this article

 

Hedging price changes in the S&P 500 options and futures contracts: the effect of different measures of implied volatility
by Jitka Hilliard
International Journal of Financial Markets and Derivatives (IJFMD), Vol. 3, No. 3, 2014

 

Abstract: We evaluate the performance of delta, delta-gamma and delta-vega hedges on the S&P 500 futures options with a particular focus on importance of daily volatility updating and the use of price-change implied volatility. Our findings indicate that the hedging performance of Black's model improves with daily updating of implied volatility and fitted price-change implied volatility for both calls and puts. Surprisingly, neither directly estimated implied price-change volatility nor introduction of additional traded option to the hedging portfolio seems to improve the hedging performance.

Online publication date: Tue, 04-Mar-2014

 

is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

 
Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

 
Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Financial Markets and Derivatives (IJFMD):
Login with your Inderscience username and password:

 

    Username:        Password:         

Forgotten your password?


 
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

 
If you still need assistance, please email subs@inderscience.com