Stop-loss start-gain strategy: Analysis and improvement

Authors
Guberniev, VA Kibzun, AI
Citation
Va. Guberniev et Ai. Kibzun, Stop-loss start-gain strategy: Analysis and improvement, AUT REMOT R, 60(1), 1999, pp. 92-101
Citations number
13
Categorie Soggetti
AI Robotics and Automatic Control
Journal title
AUTOMATION AND REMOTE CONTROL
ISSN journal
00051179 → ACNP
Volume
60
Issue
1
Year of publication
1999
Part
2
Pages
92 - 101
Database
ISI
SICI code
0005-1179(199901)60:1<92:SSSAAI>2.0.ZU;2-W
Abstract
The current interest in methods of analysis of options contracts is due to the fact that the option as a financial tool is lust emerging the Russian m arket. Problems involved in insuring (hedging) the option positions by the seller of an American call option are studied; particular consideration is given to the stop-loss start-gain method ("hedging through the cap"), for w hich variants of improvement are proposed.