INVERSE VERTICAL RATIO PUT SPREAD STRATEGY AND ITS APPLICATION IN HEDGING AGAINST A PRICE DROP

Vincent Šoltés () and Omer Faraj S Amaitiek ()

Journal of Advanced Studies in Finance, 2010, vol. 1, issue 1, 100-107

Abstract: The paper proposes a generalization of a strategy known as the Long Two Buy One Ratio Put or Put Backspread Strategy Moreover it proposes an application of the strategy in hedging against a price drop of the underlying asset to a future date in a way which enables hedging with zero cost We have found a profit function as well as a function of income from a hedged position in the analytical form which simplifies the application in particular hedging

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:srs:jasf00:v:1:y:2010:i:1:p:100-107

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