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Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes

  • Francois-Éric Racicot

    ()

    (Département des sciences administratives, Université du Québec (Outaouais) et LRSP)

  • Raymond Théoret

    ()

    (Département de stratégie des affaires, Université du Québec (Montréal))

Plusieurs gestionnaires de portefeuille pensent encore à tort qu’une couverture delta suffit pour protéger leur portefeuille contre les fluctuations des marchés financiers. Mais une augmentation marquée de la volatilité des cours boursiers les décevra dans leurs attentes. Après avoir exposé les rudiments mathématiques de l’équation de Black et Scholes, cet article présente des simulations inédites dans Excel de la couverture delta et de la couverture delta-gamma basées sur la formule de Black et Scholes. On y constate que la couverture delta-gamma est de loin préférable à une simple couverture delta.

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File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/ArticlehedgingFERRTjuin2006.pdf
File Function: First version, 2006
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Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp122006.

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Length: 50 pages
Date of creation: 12 Jun 2006
Date of revision:
Handle: RePEc:pqs:wpaper:122006
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  1. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
  2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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