Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/15387
Título: Dynamic delta hedging of autocallables under a discrete rebalancing context
Autor: Lopes, Tiago Vieira
Orientador: Eça, Afonso Fuzeta
Palavras-chave: Autocallable
Delta hedging
Discrete rebalancing
Data de Defesa: Jan-2015
Resumo: This work tests different delta hedging strategies for two products issued by Banco de Investimento Global in 2012. The work studies the behaviour of the delta and gamma of autocallables and their impact on the results when delta hedging with different rebalancing periods. Given its discontinuous payoff and path dependency, it is suggested the hedging portfolio is rebalanced on a daily basis to better follow market changes. Moreover, a mixed strategy is analysed where time to maturity is used as a criterion to change the rebalancing frequency.
URI: http://hdl.handle.net/10362/15387
Designação: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

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