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Author
Płuciennik Piotr (Uniwersytet im. Adama Mickiewicza w Poznaniu)
Title
Wycena opcji na GPW przy założeniu, że proces ceny instrumentu bazowego zawiera skoki
The Option's Valuation With Jumps of Underlying Asset's Price
Source
Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia, 2010, nr 29, s. 123-135, rys., tab., bibliogr. 17 poz.
Keyword
Opcje, Instrumenty pochodne, Model Blacka-Scholesa, Wycena opcji
Options, Derivatives, Black-Scholes model, Options pricing
Note
streszcz., summ..
Company
Giełda Papierów Wartościowych w Warszawie
Warsaw Stock Exchange
Abstract
Wycena opcji jest ważnym i zarazem trudnym zagadnieniem. Dzięki wprowadzonemu przez Blacka i Scholesa w 1973 r. łatwemu w implementacji modelu wyceny europejskiej opcji kupna i sprzedaży stała się ona prostsza, co przyczyniło się do wzrostu popularności tych instrumentów finansowych począwszy od lat siedemdziesiątych. Trzeba mieć jednak świadomość, że model zaproponowany przez Blacka-Scholesa również nie jest pozbawiony wad. Bazuje on na dość abstrakcyjnych założeniach, jak stała w czasie zmienność i rynkowa stopa procentowa. Na szczęście, jak wykazali Hull i White," obciążenie związane z tymi założeniami jest małe, jeżeli wzory Blacka-Scholesa stosujemy do opcji nearest-at-the-money i close-to-maturity. Ponieważ inwestorzy handlują głównie takimi opcjami, problem niewłaściwych założeń ulega marginalizacji. (fragment tekstu)

The first options appeared in early 1600s. They were concluded by tulip dealers who wanted to secure reasonable price in the future. Very soon the options started to attract speculators. However, before 1968 the annual trading options volume still did not exceed 300 000 contracts. The contracts become more popular in 1970s, when the Black-Scholes option pricing formula was introduced, and brought into general use. Naturally this model is not flawless. In particular the underlying process do not take into consideration jumps, which are very common in financial assets price processes (Lahaye at al., 2007). In following paper we are going to asses the legitimacy of using the models, which assume that the underlying price process contain jumps for option pricing in the Polish financial market.(original abstract)
Accessibility
The Main Library of Poznań University of Economics and Business
Szczecin University Main Library
Bibliography
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ISSN
1640-6818
1733-2842
Language
pol
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