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Miguel Jiménez-Gómez
Universidad Nacional de Colombia

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Evaluation of options portfolios for exchange rate hedges Miguel Jiménez-Gómez; Natalia Acevedo-Prins; Miguel Rojas-López
Indonesian Journal of Electrical Engineering and Computer Science Vol 21, No 1: January 2021
Publisher : Institute of Advanced Engineering and Science

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.11591/ijeecs.v21.i1.pp406-411

Abstract

In this paper evaluate six exchange rate hedging strategies with financial options from the OTC market in Colombia. Three hedging strategies for importers and three for exporters were raised. The coverage for importers was carried out with the traditional strategy of long call, bull call spread and bull put spread, the last two correspond to options portfolios. the coverage for importers was carried out with the traditional strategy of long put, bear call spread and bear put spread, the last two correspond to options portfolios. to determine the best hedging strategy, the currency price was modeled with a Wiener process and the VaR for the six covered scenarios was calculated and compared with the VaR of the uncovered scenario. The results shown by the six hedging strategies manage to mitigate the exchange risk, but the most efficient strategies are the traditional ones for both importers and exporters.
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 Miguel Rojas-López Natalia Acevedo-Prins Natalia Acevedo-Prins