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All Journal IAES International Journal of Artificial Intelligence (IJ-AI) Indonesian Journal of Electrical Engineering and Computer Science
Natalia Acevedo-Prins
Instituto Tecnológico Metropolitano – ITM
Computer Science & IT Engineering

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Evaluation of efficiency of hedging strategies with option portfolios for buyers of the currency US dollar/Colombian peso Manuela Gutierrez-Salazar; Miguel Jiménez-Gómez; Natalia Acevedo-Prins
IAES International Journal of Artificial Intelligence (IJ-AI) Vol 11, No 2: June 2022
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/ijai.v11.i2.pp572-581

Abstract

This paper evaluates the efficiency to mitigate the exchange rate risk of nine hedging strategies with financial options. Strategies to hedging the purchase of US dollar Colombian peso (USDCOP) by importers in Colombia were raised. In this way, the traditional strategy with call options and eight strategies with investment portfolios were evaluated. These portfolios of options for hedge are offered by financial entities in Colombia. These nine hedged scenarios were compared with the unhedged scenario that corresponds to the foreign exchange risk exposure of importers. The USDCOP currencies were modeled with a mean reversion with jumps models, option premiums were valued with the black-scholes method and the best hedging strategy was determined through a Monte Carlo simulation. According to the results obtained, the nine hedging strategies manage to mitigate risk, but the most efficient was the option portfolio called collar.
Currency hedging strategy using barrier options in the colombian market Mariana Arango-Franco; Miguel Jiménez-Gómez; Natalia Acevedo-Prins
Indonesian Journal of Electrical Engineering and Computer Science Vol 20, No 3: December 2020
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/ijeecs.v20.i3.pp1634-1641

Abstract

One of the main problems for the growth of the Colombian market is the short variety of investment instruments found in the local market. In this way, an exchange rate hedging strategy is proposed using exotic options, specifically, barrier-type options. These types of options are not offered in the Colombian market. Monte Carlo simulation is used to determine the effect that the hedging strategy has on currency risk. From the results, it is concluded that the exchange risk is decreased with the hedging strategy because the 5th and 95th percentiles are lower than in the scenario without hedging. Finally, the code that was used to model the barrier options is explained.
Stock portfolio hedging with financial options Juan Andrés Jaramillo-Restrepo; Miguel Jiménez-Gómez; Natalia Acevedo-Prins
Indonesian Journal of Electrical Engineering and Computer Science Vol 19, No 3: September 2020
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/ijeecs.v19.i3.pp1436-1443

Abstract

The financial market currently offers derivative products whose characteristics allow investors to reduce the negative impact of natural market fluctuations on the value of their assets. Hedging with financial options is one of the possible strategies that an investor can implement in order to reduce the exposure or risk of their investments. This paper aims to assess the real impact of financial options as a hedging instrument on an investment portfolio made up of variable income assets of the Colombian market. The results show that for options with an upward trend, call options allow future losses to be hedged; on the other hand, for bearish trends, coverage is made with put options.
Co-Authors Juan Andrés Jaramillo-Restrepo Manuela Gutierrez-Salazar Mariana Arango-Franco Miguel Jiménez-Gómez Miguel Jiménez-Gómez Miguel Jiménez-Gómez