%0 Journal Article
%T Long Combo strategy using barrier options and its application in hedging against a price drop
%A Vincent £¿olt¨¦s
%A Martina Rusn¨¢kov¨¢
%J Acta Montanistica Slovaca
%D 2012
%I Technical University of Kosice
%X This paper presents hedging analysis against an underlying price drop by Long Combo strategy using barrier options. Applicationof hedging results in SPDR Gold Shares is performed as well. New approach of hedging analysis based on the profit functions is introduced.The main theoretical contribution is the derivation of profit functions in analytical form from secured position by Long Combo strategyconstructed by barrier options. The practical application of the proposed hedging strategies in SPDR Gold Shares and the comparisonof obtained hedging alternatives is the main practical benefit.
%K hedging
%K Long Combo strategy
%K barrier options
%K SPDR Gold Shares
%U http://actamont.tuke.sk/pdf/2012/n1/3_Soltes.pdf