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Węgrzyn Ryszard (Uniwersytet Ekonomiczny w Krakowie / Kolegium Nauk o Zarządzaniu i Jakości)
Opcje jako instrument ograniczania ryzyka cen akcji : problem optymalizacji
Options as Instruments of Reducing Stock Price Risk : Problems in Optimisation
Zeszyty Naukowe / Uniwersytet Ekonomiczny w Krakowie. Seria Specjalna, Monografie, 2013, nr 225, 245 s., rys., tab., bibliogr. s. 217-229
Akcje, Ceny akcji, Ryzyko, Hedging, Rynek kapitałowy, Rozprawa habilitacyjna
Shares, Shares prices, Risk, Hedging, Capital market, Habilitation thesis
Głównym celem niniejszego opracowania jest zaprezentowanie pogłębionych rozważań na temat opcji jako narzędzia ograniczania ryzyka cen akcji, a w szczególności cena skuteczności różnych metod w ograniczaniu tego ryzyka. Praca składa się z pięciu rozdziałów: w pierwszym rozdziale rozpoczęto rozważania na temat pojęcia ryzyka, zwracając uwagę na trudności w określeniu ścisłej jego definicji, rozdział drugi omawia zagadnienia związane z wyceną oraz hedgingiem na modelowym rynku doskonałym, w trzecim zaprezentowano wynik przeprowadzonych badań empirycznych w zakresie skuteczności podstawowych metod hedgingu statystycznego, rozdział czwarty poświęcono analizie skuteczności hedgingu delta, hedgingu delta-gamma oraz hedgingu delta-gamma-vega na rynku polskim, w ostatnim rozdziale dokonano przeglądu różnych podejść i metod hedgingu dynamicznego, które pozwoliłyby lepiej zabezpieczyć przed ryzykiem cen akcji niż metody oparte na wskaźnikach modelu Blacka-Scholesa-Mertona. (fragment tekstu)

The main objective of this paper is to delve into options as a tool for reducing the risk of stocks, and particularly to assess the effectiveness of various methods of reducing this risk. The verification as well as the comparison of methods of reducing stock price risk by means of options is the fundamental research issue. At the same time, the paper also tackles the problem of securing stock prices against risk by means of options. To a great extent, the research carried out for this paper can just as well be applied to securing a position concerning options by means of stocks, the opposite case. The empirical research method employed was historical scenario, based on data from the Warsaw Stock Exchange. An integrated regression model based on principal component analysis combined with a GARCH model and the exponentially weighted moving average were used to analyse the dependencies and co-dependencies of variables, among others. On the basis of the assessments and comparisons presented in the paper it may be said generally that options efficiently reduce the riskiness of stock prices. Static hedging as a method was proven useful and is relatively easy to apply. It also enables a P&L profile on the adopted strategy on the date of the exercise of the option to be defined in advance. I present chosen strategies including synthetic short futures, protective puts, long fence, as well as the criteria for selecting appropriate options included in a given strategy by market participants. (short original abstract)
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