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Author
Orzechowski Arkadiusz (Szkoła Główna Handlowa w Warszawie)
Title
Wycena opcji parabolicznych przy wykorzystaniu transformaty Fouriera
Pricing Parabola Options Using Fourier Transform
Source
Finanse, Rynki Finansowe, Ubezpieczenia, 2018, nr 2 (92), s. 301-312, rys., tab., bibliogr. 17 poz.
Issue title
Mierzenie i ocena wyników przedsiębiorstw
Keyword
Transformacja Fouriera, Wycena opcji, Model Blacka-Scholesa
Fourier Transform, Options pricing, Black-Scholes model
Note
streszcz., summ.
Abstract
Cel - Analiza porównawcza alternatywnych sposobów wyceny, które mogą być wykorzystywane do określania wartości modelowych opcji parabolicznych. Metodologia badania - Sprawdzenie dokładności i szybkości obliczeniowej metod BS, BS-FT1 i BS-FT2 z uwzględnieniem schematów numerycznych, które mogą być wykorzystane w procesie obliczeniowym. Wynik - W warunkach słuszności założeń modelu F. Blacka i M. Scholesa trudno jest wykazać zasadność posługiwania się modelami BS-FT1 i BS-FT2. Ze względu jednak na ich uniwersalizm i elastyczność koncepcje te powinny być rozwijane. Oryginalność - Nowy sposób wyceny opcji oparty na transformacie Fouriera może być wykorzystywany do wyceny różnych rodzajów instrumentów opartych na prawach pochodnych w różnych modelach wyceny opcji. (abstrakt oryginalny)

Purpose - Comparative analysis of alternative methods of pricing options which allows to determine the value of parabolic options. Design/methodology/approach - Investigating computational accuracy and speed of BS, BS-FT1 and BSFT2 methods with different numerical schemes that can be used in the calculation process. Findings - Under assumptions of the Black-Scholes model it is hard to prove superiority of the BS-FT1 and BS-FT2 models. However, due to their universalism and flexibility, these concepts should be developed. Originality/value - A new option pricing method based on the Fourier transform can be used to value various types of derivatives in various option pricing models. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of University of Economics in Katowice
Szczecin University Main Library
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Bibliography
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Cited by
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ISSN
2450-7741
Language
pol
URI / DOI
http://dx.doi.org/10.18276/frfu.2018.92-26
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