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Finance and Credit
 

Application of synthetic straddle for control of the fund risk

Vol. 17, Iss. 48, DECEMBER 2011

Available online: 14 December 2011

Subject Heading: Stock market

JEL Classification: 

Yashin S.N. Doctor of Economics, professor, chairman of department “Control of innovation activity”, Nizhniy-Novgorod State Technical University named after R.E. Alekseyev
jashin@52.ru

Koshelev E.V. PhD in Economics, associate professor of department “State and municipal administration”, Nizhniy-Novgorod State University named after N.I. Lobachevsky
ekoshelev@yandex.ru

Makarov S.A. Senior lector of department “Mathematics and systems analysis”, Nizhniy-Novgorod Institute of Administration of Russian Academy of Civil Service under the President RF
mcarow@yandex.ru

In the article it is substantiated the need of applying the synthetic options on the fund market. The model of construction and use of synthetic straddle, which makes possible for investor to considerably decrease the individual fund risk, connected with the basic active memberships located in his property is developed. For constructing synthetic straddle is used to the binomial model, taking into account of the price change of the performance of straddle according to linear regression.

Keywords: synthetic financial tools, option, straddle, fund risk

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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