PL EN


2013 | 124 | 131-142
Article title

Wpływ niepewności oszacowania zmienności na cenę instrumentów pochodnych

Authors
Content
Title variants
EN
Assess the Impact of Uncertainty on the Price Volatility Derivatives
Languages of publication
PL
Abstracts
EN
Valuation of derivatives is one of the most discussed topics of scientific treatises. In this paper we assess the likely impact of uncertainty on the price volatility of derivative. Results are presented on the example of the European digital option. It has been shown non-trivial dependence of the span of the confidence interval of the model parameters
Year
Volume
124
Pages
131-142
Physical description
Contributors
References
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  • Latane H., Rendleman R.: Standard deviations of stock price ratios implied in option prices, "Journal of Finance" 1976, No. 31.
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  • Shreve S.E.: Stochastic calculus for finance. Continuous-time model, Springer 2008.
  • Sobczyk M.: Statystyka, PWN, Warszawa 2002.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-44cf8d6c-22e1-483d-80d9-addbef91794c
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