Zastosowanie delty „wolnej od modelu” w hedgingu opcyjnym
Zastosowanie delty „wolnej od modelu” w hedgingu opcyjnym

Summary/Abstract: This article presents the results of a comparative analysis of the effectiveness of the hedging strategy based on the model free delta and the effectiveness of the strategy based on the Black-Scholes-Merton delta. Empirical results obtained for the Polish stock market showed no significant advantage to any of the presented approaches. The hedging with the model free delta was not, therefore, more efficient solution than hedging with the BSM delta.

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