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Erschienen in:
2015 | OriginalPaper | Buchkapitel
Hedge for Automotive SMEs Using An Exotic Option
verfasst von : Javier-Ignacio García-Fronti, Julieta Romina-Sánchez
Erschienen in: Scientific Methods for the Treatment of Uncertainty in Social Sciences
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Abstract
The automotive firms (usually SMEs) work as suppliers for a big automaker, so the former have financial dependence on the latter’s structure. Each of these SMEs, working as supplier for a brand, is likely to find its sales falling or its gross margin shrinking when a depreciation occurs in the automaker’s stock price. Therefore, fluctuation in automaker’s stock price can impact negatively in its suppliers. This paper uses a stochastic model to calculate the premium that the SME must pay for hedge against these losses. Mathematically, it calculates the probability at time cero of automaker’s stock price hitting a specific barrier before the option expires. For these purposes, 2014 intraday quotes have been used.