26

Hedging Strategies with Variable Purchase Options

Manuel Moreno∗ and Javier F. Navas∗∗

∗University of Castilla La-Mancha

∗∗Pablo de Olavide University

Chapter Outline

26.1 Introduction

26.2 Description of the Product

26.3 Pricing and Hedging Bounded VPOs

26.3.1 Delta of the bounded VPO

26.3.2 Gamma of the bounded VPO

26.3.3 Theta of the bounded VPO

26.3.4 Vega of the bounded VPO

26.6.5 Rho of the bounded VPO

26.4 Conclusions

Acknowledgments

References

26.1 Introduction

Nowadays, many firms have difficulties obtaining the funds needed for their investment projects and their operations. Internally generated funds have decreased because of the economic crisis and lower growth rates. At the same time, external financing sources have become scarce. ...

Get Rethinking Valuation and Pricing Models now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.

Start your free trial