BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Węgrzyn Ryszard (Kolegium Nauk o Zarządzaniu i Jakości)
Title
Dynamiczne operacje zabezpieczające z wykorzystaniem opcji
Dynamic Security Operations using Options
Source
Zeszyty Naukowe / Akademia Ekonomiczna w Krakowie, 2005, nr 680, s. 75-90, bibliogr. 8 poz.
Keyword
Opcje, Zarządzanie ryzykiem, Wycena opcji
Options, Risk management, Options pricing
Note
summ.
Abstract
„Celem artykułu jest ... określenie nowych jakościowo możliwości zastosowania notowanych opcji w strategiach zabezpieczających portfele akcji. W tym wypadku celowe stało się także bliższe zapoznanie wyceny opcji opiewających na indeks kursów akcji.”

In this article, the author draws attention to new, qualitative opportunities to use options in strategies to hedge share portfolios. These opportunities have appeared since options were introduced to public trade on the WIG20 index. Using examples, the author presents the use and effectiveness of the following methods: delta hedging, delta-gamma hedging, delta-gamma-rho hedging and dclta-gamma-vega-rho hedging. The author signals, however, that thorough empirical analysis must be conducted before using such approaches on the Polish market. A comparative analysis of option prices and defined model values is essential. As the market develops, options will certainly be better valuated and therefore the application of hedging methods will be more effective. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Full text
Show
Bibliography
Show
  1. BodieZ., Kane A., Marcus A.J., Investments, Irwin Inc., Boston 1993.
  2. Bookstaber R.M., Option Replication Technology [w:] Advanced Strategies in Financial Risk Management, red. R.J. Schwartz, C.W. Smith, New York Institute of Finance, New York 1998.
  3. Haugen R. A., Teoria nowoczesnego inwestowania, WIG-Press, Warszawa 1996.
  4. Hull J., Kontrakty terminowe i opcje. Wprowadzenie, WIG-Press, Warszawa 1997.
  5. Jajuga K., Jajuga T., Inwestycje, PWN, Warszawa 1996.
  6. Jarrow R., Turnbull S., Derivative Securities, Soulh-Western College Publ., Cincinnati 2000.
  7. Kolb R.W., Financial Derivatives, New York Institute of Finance, New York 1993.
  8. McMillan L.G., Options as a Strategic Investment, New York Institute of Finance, New York 1993.
Cited by
Show
ISSN
0208-7944
Language
pol
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu