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

  • Vincent ŠOLTÉS
  • Omer Faraj S. AMAITIEK

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.
Published
2010-08-15
How to Cite
ŠOLTÉS, Vincent ; AMAITIEK, Omer Faraj S. . INVERSE VERTICAL RATIO PUT SPREAD STRATEGY AND ITS APPLICATION IN HEDGING AGAINST A PRICE DROP. Journal of Advanced Studies in Finance, [S.l.], v. 1, n. 1, p. 100-107, aug. 2010. ISSN 2068-8393. Available at: <https://journals.aserspublishing.eu/jasf/article/view/29>. Date accessed: 25 jan. 2022.
Section
Journal of Advanced Studies in Finance