Hedging Effectiveness of Options on Thailand Futures Exchange

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Published: Sep 23, 2017
Keywords:
Hedging Discrete Hedging

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Jirapat Amornsiripanuwat

Abstract

The study tests for the improved performance of the Wilmott (1994) model over that of the Black-and-Scholes (1973) model in hedging effectiveness of SET 50 Index options being traded on Thailand Futures Exchange. Although the Wilmott model is more consistent with hedging procedures of Thai investors, its resulting performance is not better significantly—either statistically or financially, than that of the Black and Scholes model. Due to simplicity and familiarity of the model to the investors, the study recommends those investors, who use the Black-and-Scholes model at present, to continue using the model for hedging.

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How to Cite
Amornsiripanuwat, J. (2017). Hedging Effectiveness of Options on Thailand Futures Exchange. WMS Journal of Management, 6(3), 1–16. Retrieved from https://so06.tci-thaijo.org/index.php/wms/article/view/99761
Issue
Vol. 6 No. 3 (2017): September - December 2017
Section
Research Articles-Academic Articles
Author Biography

Jirapat Amornsiripanuwat

Faculty of Commerce and Accountancy, Thammasat University

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