Performance of the Delta- neutral Hedging Strategy on Meme Stock
نویسندگان
چکیده
This paper studies the performance of delta-neutral hedging strategies on meme stocks under Black-Scholes-Model to help investors find possibilities reducing risk caused by high volatility in stock trading. In study, one most followed individual r/wallstreetbets forum-GameStop (GME)-is selected as underlying, and data 10 options with different strike prices short term are collected daily implied calibrated using minimum square error approach. After constructing portfolio, model is used derive Greek-delta within each trading day hedged. The results study show that strategy less effective stocks, compares for other core index. will understand feasibility stocks.
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ژورنال
عنوان ژورنال: BCP business & management
سال: 2022
ISSN: ['2692-6156']
DOI: https://doi.org/10.54691/bcpbm.v32i.2888