Query: "long straddle"

title: Hedging strategy in emerging market: Application long straddle option in gold price index
abstract: This research was conducted to test the implementation of gold price index option contracts using the Black Scholes and GARCH models with a long straddle strategy. The testing is done by looking at the comparison of the results of the calculation from the historical volatility value and the GARCH volatility. The results of the study are displayed by looking at the comparison of the Average Mean square Error (AMSE) percentage values of the two models. From the research that has been done, it shows that the Black Scholes model has a better gold price index option contract than the GARCH model for maturities of 1 month, 2 months and 3 months.This is shown from the AMSE value of call options and put options in the Black Scholes model which is always smaller than the GARCH model for each contract maturity period. In addition, the potential for maximum profit by implementing the long straddle strategy in gold price index option contracts in the range of 2008 2018 is 54.98 percent with an average profit potential of around 25 30 percent.

title: Artificial Intelligence System for Predicting the Price of the SIU8 Basic Asset of the SI 9.18 Option in the "Long Straddle" Strategy
abstract: The features of the "long straddle" option strategy for the Si 9.18 option that was chosen as an object of the research on the Moscow MOEX stock exchange have been investigated. The underlying asset of the Si 9.18 option is a futures SiU8 contract for the US dollar on a 15 min timeframe. The theoretical foundations of option pricing using the Cox Ross Rubinstein model have been considered. Based on the Russian Deductor platform, the Kohonen map neural network has been developed to obtain a forecast for the price of the option base asset. There has been suggested and proven a hypothesis that the neural network makes it possible to obtain a price forecast for the SiU8 base asset of a synthetic option in the "long straddle" strategy. Since this option strategy is aimed at making a profit from an intensive movement and increase in volatility, the use of the developed artificial intelligence system based on the "long straddle" strategy will reduce risks and ensure its hedging.

title: PENGUJIAN MODEL BLACK SCHOLES DAN GARCH PADA LQ 45 DENGAN MENGGUNAKAN STRATEGI LONG STRADDLE TAHUN 2009 2018

title: Evaluation of the Reverse Mortgage Option in Korea: A Long Straddle Perspective
abstract: This study explored the option value embedded in a reverse mortgage in Korea through an empirical analysis, using the Black Scholes option pricing model. The value of a reverse mortgage is affected by the variation in house prices. However, older homeowners using reverse mortgages are able to choose this option due to the unique characteristics of reverse mortgages, such as non recourse clauses or being able to redeem the loan. This paper found the following results. First, the call option value is 5.8% of the house price at the age of 60, under the assumption of a KRW three hundred million house value, while the put option value is only 2.0% Contrary to what it is at sixty years of age, only the call option value will remain when the homeowner reaches the age of 80. Second, this article analyzed the sensitivity of the key variables of real option analytical models, such as the change of the exercise price, the change of the risk free rate, volatility, and maturity, on the option value of a reverse mortgage. The sensitivity results of the key variables supported economic rationales for the option pricing model.

title: Return Analysis on Contract Option Using Long Straddle Strategy and Short Straddle Strategy with Black Scholes
abstract: Investment in the capital market never had any risk. The greater the risks level of an asset, the greater the risk of the asset, and vice versa. One of the risks is the fluctuated stock price movement. Derivatives instruments can be used to mitigate the risk of investment. One of the derivatives instruments traded in Indonesia is option contract. This study aimed to analyze the return on contract option using long straddle strategy and short straddle strategy with Black Scholes model. In addition, this study also compares which strategies are better between the two strategies. The sample in this research was determined by purposive sampling method to obtain 5 companies as a sample. Based on the results, long straddle strategy is the best strategy because the profits are unlimited and the loss is limited to call and put premium. For investors who want to invest in the derivatives market, in particular contracts option investors should look at the movement of stock prices. If the movement of stock increased or decreased drastically, then the best would be long straddle strategy. In addition, investors should choose an option contract with a validity period of 2 months because of the potential to provide greater profits.

title: Assessing Shock Volatility using Long Straddle Option Strategy: Evidence at IDX Composite
abstract: T his study was to identify the probability of occurrence of shock volatility and was impact on return of an investment. Using IDX Composite data from 1998 to 2016 and long straddle option strategy at IDX composite consisting of two phases: high volatility daily return was 7 years with a total of 3432 observations using 1716 c all option simulation contracts, and 1716 p ut o ption simulation contracts and low volatility daily return were 12 years with a total of 5528 observations using 2908 c all option simulation contract and 2908 p ut o ption simulation contracts The result showed that the shocking volatility occurs greater when the volatility below the average year of observation. Shock volatility during the year low volatility of 44.25% and period of year high volatility of 34.49% But if calculated in total based on 8960 observation from 1998 2016, where 4480 was call option and 4480 transactions were put transaction there were 1815 incident shock volatility or equal to 40.51. So the potential for profit (call and put option holders) or potential loss (call and put option seller per day due to the occurrence of shock volatility of 40.51

title: Analisis Imbal Hasil Kontrak Opsi Menggunakan Strategi Long Straddle Dan Strategi Short Straddle Dengan Metode Black Scholes
abstract: Abstrak Investasi yang dilakukan oleh investor di pasar modal tidak pernah lepas dari risiko. Semakin besar tingkat risiko suatu aset, semakin besar pula risiko atas aset tersebut, demikian pula sebaliknya. Salah satu risikonya adalah pergerakan harga saham yang tidak menentu. Mengelola risiko dari pergerakan harga saham tersebut digunakan instrumen derivatif. Salah satu instrumen derivatif yang diperdagangkan di Indonesia adalah kontrak opsi. Penelitian ini bertujuan untuk menganalisis imbal hasil kontrak opsi menggunakan strategi long straddle dan strategi short straddle dengan metode black scholes. Selain itu, penelitian ini juga akan membandingkan strategi mana yang lebih baik antara kedua strategi tersebut. Variabel variabel yang terkait dalam penelitian ini adalah analisis imbal hasil menggunakan strategi strategi long straddle dan analisis imbal hasil menggunakan strategi short straddle. Populasi dalam penelitian ini adalah seluruh perusahaan yang terdaftar di Bursa Efek Indonesia. Sampel dalam penelitian ini ditentukan dengan metode purposive sampling sehingga diperoleh 5 perusahaan sebagai sampel. Perusahaan tersebut adalah PT Astra International Tbk (ASII) PT Bank Central Asia Tbk (BBCA) PT Indofood Sukses Makmur Tbk (INDF) PT Telekomunikasi Indonesia (TLKM) dan PT HM Sampoerna Tbk (HMSP) Berdasarkan hasil penelitian, strategi yang cocok digunakan adalah strategi long straddle karena keuntungan yang dihasilkan tidak terbatas dan kerugian hanya sebesar premi call dan put. Imbal hasil antara strategi long straddle dan strategi short straddle memiliki hasil yang sama. Bagi investor yang ingin melakukan investasi di pasar derivatif, khususnya kontrak opsi sebaiknya investor melihat pergerakan harga saham. Jika pergerakan harga saham naik atau turun secara drastis, maka sebaiknya menggunakan strategi long straddle. Selain itu, investor sebaiknya memilih kontrak opsi dengan masa berlaku 2 bulan karena berpotensi memberikan keuntungan yang lebih besar.  Derivatif, Kontrak Opsi, Long Straddle, Short Straddle, Black Shcoles Abstract Investment that is used by an investor in the capital market never had no risk. The greater the risk level of an asset, the greater the risk of the asset, and vice versa. One of the risk is unstable stock price movement. Managing the risks of the stock price movement used derivatives instruments. One of the derivatives instruments traded in Indonesia is contract option. This study aimed to analyze the return on contract option using long straddle strategy and short straddle strategy with black scholes. In addition, this study will also compare which strategies are better between the two strategies. The related variables in this study are return using long straddle strategy and return using short straddle strategy. The population in this study are all companies listed in Indonesia Stock Exchange. The sample in this research was determined by purposive sampling method to obtain 5 companies in the sample. The companies are PT Astra International Tbk (ASII) PT Bank Central Asia Tbk (BBCA) PT Indofood Sukses Makmur Tbk (INDF) PT Telekomunikasi Indonesia (TLKM) dan PT HM Sampoerna Tbk(HMSP) Based on the results of the study, long straddle strategy is a right strategy because the resulting profits are endless and loss is only for call and put premium. Return between long straddle strategy and short straddle strategy has the same result. For investors who want to invest in the derivatives market, in particular contracts option investors should look at the movement of stock prices. If the movement of stock increased or decreased drastically, then you should use the long straddle strategy. In addition, investors should choose an option contract with a validity period of 2 months because of the potential to provide greater benefits.  Derrivative, Contract Option, Long Straddle, Short Straddle, Black Shcoles

title: Strategie opcyjne long straddle i long guts w zabezpieczaniu poziomu cen ropy WTI

title: TESTING OF THE BLACK SCHOLES AND GARCH MODELS IN LQ45 USING LONG STRADDLE STRATEGY IN 2009 2018
abstract: The purpose of this study is to examine the implementation of option contracts using Black Scholes and GARCH on the LQ45 index using the long straddle strategy. This study uses time series data as a time frame for conducting research, using a sample of closing price data for the LQ 45 daily index for 2009 2018. For the test the model, we used the secondary data of the closing stock price index from February 28, 2009 to March 31, 2019The results of this study are seen by comparing the average percentage value of Average Mean Squared Error (AMSE) of Black Scholes and GARCH with the application of a long straddle strategy, where the smaller the percentage value, the better the model will be. Within one month of option contract due date, Black Scholes is better than GARCH, with an error value on the call option of 2.77% and the put option of 1.56% Within two months of option contract due date, GARCH is better than Black Scholes, with an error value on the call option of 8.12% and the put option of 4.00% Within three months of option contract due date, Black Scholes is better than GARCH, with an error value on the call option of 12.38% and on the put option of 5.50% The long straddle strategy in the LQ45 index only reached a maximum of 60% of possible profits, with an average of around 30% possible profits.

title: An option strategy analysis: long straddle
abstract: Ideju i metodologiju ispitivanja opcijskih strategija s matematickog aspekta zapoceli smo u radu Bull call spread strategija za upravljanje rizikom. Cilj rada je kroz naznacenu analizu pokazati kako se kombinacijom osnovnih pozicija u opcijama stvaraju slozene strategije trgovanja opcijama. U ovom radu ispitujemo opcijsku strategiju koja nastaje kombi niranjem istih pozicija u razlicitim opcijama, tocnije strategiju koja ukljucuje primjenu duge pozicije u europskoj put opciji i duge pozicije u europskoj call opciji s istom vezanom imovinom, jednakim izvrsnim cijenama i vremenom dospijeca. U anglosaksonskom govo rnom podrucju ovakva strategija se naziva long straddle. Polazeci od funkcija profita pojedinih pozicija u opcijama, kao funkcija trzisne cijene imovine na dospijece opcija, definiramo funkciju profita strategije long straddle, te analiziramo samu funkciju, njene prijelomne tocke i ekstreme. Na kraju, daje se usporedba svih triju analiziranih funkcija profita. Nadamo se da ce ovaj rad, kao i prethodno navedeni, biti dobar uvod u razu mijevanje opcija.