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Long Strangle Strategy Using Barrier Options and its Application in Hedging Against a Price Increase

机译：使用屏障选择的长扼杀战略及其在价格上涨期间的应用

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This paper presents hedging analysis against an underlying price increase by using Long Strangle strategy formed with vanilla and barrier options. More specifically, up and knock-in call option and standard barrier put options are used. The main theoretical contribution is to specify profit functions for this strategy followed by derivation of cost functions for secured position. The strategy is applied to real option data for SPDR Gold Shares (GLD). The costs of options in strategy to form secured position are investigated for different values of barriers with fixed strike prices. Furthermore, the mutual effect of variation in requested costs or call/put option strike price or call option barrier is analysed.
机译：本文通过使用与香草和屏障选项形成的长扼杀策略来提出对潜在价格增加的对冲分析。更具体地说，使用UP和Knock-In Call选项和标准屏障PUT选项。主要的理论贡献是为此策略指定利润职能，然后导出确保职位的成本职能。该策略适用于SPDR金股（GLD）的实际选项数据。针对固定罢工价格的障碍价值调查了策略选项的成本。此外，分析了所要求的成本或呼叫/放置选项罢工价格或呼叫期权屏障的相互影响。

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