Trading and hedging strategies with options: a quantitative analysis
Ucciardo, Nunzio (A.A. 2024/2025) Trading and hedging strategies with options: a quantitative analysis. Tesi di Laurea in Advanced corporate finance, Luiss Guido Carli, relatore Pierluigi Murro, pp. 64. [Master's Degree Thesis]
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Abstract/Index
Importance of options in financial markets. Fundamentals of options and trading strategies. Definition of options: main characteristics. Option pricing: the black-scholes model. Trading option strategies. Directional strategies. Volatility-based strategies. Advanced strategy. Hedging strategies with options. The concept of risk hedging. Hedging with protective put. Delta hedging. Vega hedging and volatility management. Data collection and preparations. Selection of assets for analysis. Downloading historical data. Data organization in excel. Backtesting strategies in excel. Methodology and key assumptions. Simulation of trading strategies. Simulation of hedging strategies. Performance evaluation metrics. Comparative analysis of strategy performance. Introduction to comparison. Bullish strategies. Bearish strategies. Non-directional strategies. Hedging strategies.
References
Bibliografia: p. 58.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Advanced corporate finance |
| Thesis Supervisor: | Murro, Pierluigi |
| Thesis Co-Supervisor: | Altieri, Michela |
| Academic Year: | 2024/2025 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 26 Sep 2025 14:22 |
| Last Modified: | 26 Sep 2025 14:22 |
| URI: | https://tesi.luiss.it/id/eprint/43339 |
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