Dynamic hedging by means of “options”

Abstract

In this article we research the dynamics of the option portfolio hedging strategies. Based on the sensitivity analysis we can conclude that the underlying asset price and its volatility have the definitive effect on the option price. Comparative studies of several dynamic hedging strategies on Ukrainian exchange call options show that the delta-vega and delta-gamma strategies are quite similar in their results, and both are much better that the delta- neutral strategy, but the outcomes of the strategies in dynamics are quite different from the results of static hedging.