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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.

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Hedging HKEX Listed Warrants (MH4514: Financial Mathematics)

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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.

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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.

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