Option Pricing and Delta Hedging for Moderna Inc. on Different Models

Wuyu Wei

2022

Abstract

The aim of this paper is to compare the performance of the same delta hedging strategies using three different models in the process of pricing options for Moderna Inc., which has reference value for investors to compare such models and build their hedging portfolios. Historical volatility is estimated from past open prices and two implied volatilities are calibrated utilizing the selected 10 options on the Moderna Inc.’s stock. Then the delta hedging strategy using three different models with volatilities above, containing one unit of a specific option with different maturity and delta shares of the stock, is applied to obtain daily profit/loss. Finally, the trends of daily gain/loss for such three models are visualized compared with the trends without hedging. To conclude, the hedging strategy performs all well for the three models. This results in this study benefits investors and researchers in choosing the relatively suitable option pricing model and the best-fit hedging strategy for specific companies or sectors.

Paper Citation

in Harvard Style

Wei W. (2022). Option Pricing and Delta Hedging for Moderna Inc. on Different Models. In Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME; ISBN 978-989-758-636-1, SciTePress, pages 401-406. DOI: 10.5220/0012033700003620

in Bibtex Style

@conference{icemme22,
author={Wuyu Wei},
title={Option Pricing and Delta Hedging for Moderna Inc. on Different Models},
booktitle={Proceedings of the 4th International Conference on Economic Management and Model Engineering - Volume 1: ICEMME},
year={2022},
pages={401-406},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0012033700003620},
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 Delta Hedging for Moderna Inc. on Different Models
SN - 978-989-758-636-1
AU - Wei W.
PY - 2022
SP - 401
EP - 406
DO - 10.5220/0012033700003620
PB - SciTePress