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- W4311890122 abstract "This paper studies the performance of delta-neutral hedging strategies on meme stocks under the Black-Scholes-Model to help investors find possibilities of reducing the risk caused by high volatility in meme stock trading. In the study, one of the most followed stocks by individual investors on the r/wallstreetbets forum-GameStop (GME)-is selected as the underlying, and data of 10 options with different strike prices in the short term are collected and the daily implied volatility are calibrated by using the minimum square error approach. After constructing the portfolio, the model is used to derive the Greek-delta within each trading day and hedged. The results of the study show that the delta-neutral strategy is less effective on meme stocks, compares with the delta-neutral hedging results for other core stocks of index. This study will help investors understand the feasibility of delta-neutral hedging strategies on meme stocks." @default.
- W4311890122 created "2023-01-02" @default.
- W4311890122 creator A5004107714 @default.
- W4311890122 date "2022-11-22" @default.
- W4311890122 modified "2023-09-26" @default.
- W4311890122 title "Performance of the Delta- neutral Hedging Strategy on Meme Stock" @default.
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- W4311890122 doi "https://doi.org/10.54691/bcpbm.v32i.2888" @default.
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