/Warrant-Hedging

Pricing and hedging of HKEX warrants in Python using Black Scholes, Implied Volatility and Delta Hedging. It is connected to HKEX and BOCI data source.

Primary LanguageJupyter Notebook

Hedging HKEX Listed Warrants (MH4514: Financial Mathematics)

Please Star ⭐️ the repo, if you find it helpful....

The repository helps to maintain and create a self-financing portoflio using Delta hedging to hedge warrants listed on Hong Kong Exchange (HKEX). It uses Black Scholes formula and Implied Volatility.

It supports all warrants listed on HKEX.

  • Data Collection : All data collection is embedded in the repository. It only requires the warrant code as mentioned in the HKEX listing.

  • Warrant : Supports different entitlement ratios and both call and put options.

  • Implied Volatility : If no estimate for volatility is provided, we calculate the implied volaity using Black Scholes and Current Market Price of the Warrant

Future work

  • Implied Volatility Smile : Use various warrant of same eunderlying asset listed on HKEX with different Strike Prices and Matruity dates to build a volatility smile curve for better estimate of IV.