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Author
Majewska Agnieszka
Title
Zastosowanie modelu Blacka-Scholesa do wyceny opcji na markę niemiecką kwotowanych na rynku międzybankowym
The Use of the Black-Scholes Model for Valuing Options on DEM which are Traded on the Inter-bank Market
Source
Zeszyty Naukowe Uniwersytetu Szczecińskiego. Prace Katedry Ekonometrii i Statystyki, 2000, nr 8, s. 359-367, bibliogr. 3 poz.
Keyword
Opcja walutowa, Wycena opcji, Instrumenty finansowe, Instrumenty pochodne, Rynek międzybankowy
Currency options, Options pricing, Financial instruments, Derivatives, Interbank market
Note
summ.
Abstract
W artykule wykorzystano wzory wyceny opcji Blacka-Scholesa do wyceny opcji walutowych, w których walorem bazowym jest marka niemiecka. Na potrzeby wyceny ustalono krajową i zagraniczną stopę procentową wolną od ryzyka oraz oszacowano zmienność kursów marki. Po wyznaczeniu tych parametrów dokonano wyceny opcji kupna i sprzedaży na marki niemieckie z miesięcznym, 2-miesięcznym, 3-miesięcznym i 6-miesięcznym terminem realizacji.

The last decade has seen a growth in markets in which options are actively traded. An option is an agreement a real or financial asset at a later date for an agreed price. There are two types of options: call and put. Call options are contracts that given the bearer the right to purchase a given asset at the prespecified strike price. On the other hand, put options are contracts that given the bearer the right to sell an asset at a given strike price. The buyer of an option has the right, but not the obligation. For this right, the purchaser pays a fee. The price of an option is often called the options premium. One of the earliest, and as it turns out, simplest, of the option pricing models was derived by Fischer Black, Myron Scholes and Robert Merton. In this article the Black-Scholes option pricing model was adapted for valuing for options on DEM. However, stripped of their continuous-time mathematics and statistical probability notation, the approach taken to pricing options is really quite simple and intuitively appealing. In short, it is a function of five parameters: the base instrument (DEM), the exercise price, the time to maturity of the option, the risk-free interest rate (foreign and home) and volatility. In general, the Black-Scholes model provided the breakthrough that permitted the rapid growth of the options market.(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
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ISSN
1230-4298
Language
pol
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