Option Pricing and Delta-hending with Reference to Futures on Russian Market

Abstract

In all countries where there are strong and stable financial markets, futures trading plays a very important role. Portfolios of market participants, which can be made up of only one stock assets, in many respects lose portfolios made up of stock assets and futures contracts. This paper shows the possibility of applying Delta hedging in the Russian derivatives market. Delta hedging is one of the most common methods of protecting a portfolio from market risks and making a profit. There are also some results of mathematical research that can be useful in hedging and evaluating futures contracts.