Resumen en español

The goal of this study is to develop a methodology to identify and hedge the residual risk generated in buying and selling options with the same underlying asset, but that asset in each option traded in different currencies. This study is done to facilitate the development of the equity option business in Colombia, using the existing options on the Bancolombia ADR (American Depositary Receipts) as a hedge. The steps followed were researching the details of the options on the ADR, identifying the appropriate framework to use for hedging and valuation, identifying the residual risk remaining in buying a call option on ADRs and the selling a call option on the Bancolombia shares, and setting a series of forex operations that hedge the residual risk that is generated.