The Short Call Ladder strategy and its application in trading and hedging

The Short Call Ladder strategy and its application in trading and hedging

The paper presents a new approach to the formation of Short Call Ladder (SCL) strategy based on the functions of profit. Anoptimal algorithm for the use of this strategy in trading is introduced as well. Furthermore, this paper is focused on the applicationof Short Call Ladder strategy in hedging ag...

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Bibliographic Details
Main Authors: Marcel Rešovský, Tomáš Bálint, Omer Faraj S. Amaitiek
Format: Article
Language:English
Published: Technical University of Kosice 2010-03-01
Series:Acta Montanistica Slovaca
Subjects:
hedging
option strategies
Short Call Ladder
Short Combo
SPDR Gold Shares
Vertical Ratio Call Back Spread
Online Access:http://actamont.tuke.sk/pdf/2010/n3/01_Amaitiek.pdf
Description
Summary:The paper presents a new approach to the formation of Short Call Ladder (SCL) strategy based on the functions of profit. Anoptimal algorithm for the use of this strategy in trading is introduced as well. Furthermore, this paper is focused on the applicationof Short Call Ladder strategy in hedging against a price rise of the underlying asset. In the end, the results are compared with theresults of hedging obtained by Short Combo and Vertical Ratio Call Back Spread option strategy.
ISSN:1335-1788

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