- Author
- Milian Anna (Cracow University of Technology, Poland)
- Title
- On Some Risk-Reducing Derivatives
- Source
- Optimum : studia ekonomiczne, 2014, nr 5 (71), s. 198-207, rys., tab., bibliogr. s. 207
- Keyword
- Model Blacka-Scholesa, Metoda Monte Carlo, Ryzyko, Instrumenty pochodne, Inwestor giełdowy
Black-Scholes model, Monte Carlo method, Risk, Derivatives, Stock exchange investor - Note
- summ.
- Abstract
- In this paper, we propose some derivative designed for small stock investors. Using the Black-Scholes model we derive an explicit formula for the price of the derivative, computing its discounted expected payoff. The payoff is modelled on the payoff of the catastrophe bonds, random occurrence of a natural disaster is replaced by a random stock price falling. Different variants of the proposed derivative are obtained by introducing a parameter to the payoff of the derivative. By Monte Carlo method, to reduce the risk of large losses associated with the investment, indicated the variant of this instrument, appropriate to selected typical values of volatility of considered stock . (original abstract)
- Accessibility
- The Library of Warsaw School of Economics
The Library of University of Economics in Katowice - Full text
- Show
- Bibliography
-
- Jakubowski J., Palczewski A., Rutkowski M., Stettner Ł. 2003 Matematyka Finansowa, WNT, Warszawa.
- Romaniuk M. 2003 Pricing the Risk-Transfer Financial Instruments via Monte Carlo Methods, "Systems Analysis Modelling Simulation", 43, 8.
- Romaniuk M., Ermolieva T. 2004 Wycena obligacji katastroficznych metodami symulacyjnymi, Badania Operacyjne Systemowe, Zastosowania.
- Tarczyński W., Zwolankowski M. 1999 Inżynieria Finansowa, PLACET, Warszawa.
- Weron A., Weron R. 1998 Inżynieria Finansowa, WNT, Warszawa.
- Wiklund E. 2012 Asian Option Pricing and Volatility, Thesis, Royal Institute of Technology in Stockholm, Electronic document: http://www.math.kth.se/matstat/seminarier/ reports/ M-120412a.pdf, access: 03.10.2014.
- Cited by
- ISSN
- 1506-7637
- Language
- eng
