%A ŠOLTÉS, Vincent
%A AMAITIEK, Omer Faraj S.
%D 2010
%T INVERSE VERTICAL RATIO PUT SPREAD STRATEGY AND ITS APPLICATION IN HEDGING AGAINST A PRICE DROP
%K
%X 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.
%U https://journals.aserspublishing.eu/jasf/article/view/29
%J Journal of Advanced Studies in Finance
%0 Journal Article
%P 100-107%V 1
%N 1
%@ 2068-8393
%8 2010-08-15