Option Pricing and Risk Hedging for High-Tech Company: The Case for Apple

Minhsueh Chiang, Jiaheng Xu, Yuisam Law, Renjie Yang

2022

Abstract

In this study, we examine the profitability of various hedging techniques for Apple stock options, which is brand new to the field. The entire study is accomplished in two steps. In the first step, implied volatility is determined and calculated by analyzing data on 10 different options on Apple stock, and the next step is to construct a hedging portfolio based on the results of the first step, consisting of one unit of the specified option and the underlying stock's delta shares. In summary, it has been determined that the hedging approach investigated in this study has the potential to successfully cut risk. This study helps individual and institutional investors to effectively construct a portfolio of Apple's stocks and select the most appropriate hedging strategy. Use this as a reference. It should be noted that the Black-Scholes model used in this study has a zero-interest rate assumption. In addition, the Black-Scholes model ignores the transaction costs that exist in real markets; therefore, the results of this model may not be fully accurate, but additional research in the near future would be beneficial.

Paper Citation

in Harvard Style

Chiang M., Xu J., Law Y. and Yang R. (2022). Option Pricing and Risk Hedging for High-Tech Company: The Case for Apple. In Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME; ISBN 978-989-758-636-1, SciTePress, pages 395-400. DOI: 10.5220/0012033600003620

in Bibtex Style

@conference{icemme22,
author={Minhsueh Chiang and Jiaheng Xu and Yuisam Law and Renjie Yang},
title={Option Pricing and Risk Hedging for High-Tech Company: The Case for Apple},
booktitle={Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME},
year={2022},
pages={395-400},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0012033600003620},
isbn={978-989-758-636-1},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME
TI - Option Pricing and Risk Hedging for High-Tech Company: The Case for Apple
SN - 978-989-758-636-1
AU - Chiang M.
AU - Xu J.
AU - Law Y.
AU - Yang R.
PY - 2022
SP - 395
EP - 400
DO - 10.5220/0012033600003620
PB - SciTePress