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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.
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Data Collection : All data collection is embedded in the repository. It only requires the warrant code as mentioned in the HKEX listing.
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Warrant : Supports different entitlement ratios and both call and put options.
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Implied Volatility : If no estimate for volatility is provided, we calculate the implied volaity using Black Scholes and Current Market Price of the Warrant
- 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.