ANALIZA WYCENY OPCJI EUROPEJSKICH W MODELU HULLA – WHITE’A

• Authors: Orzechowski Arkadiusz

Title variants

EN

ANALYSIS OF HULL – WHITE MODEL

• Languages of publication: PL

Abstracts

PL

W niniejszym artykule analizowany jest model J. Hulla i A. White’a. W ramach podejmowanej problematyki przedstawiane są aspekty teoretyczne rozpatrywanego podejścia oraz wykorzystywane są dane empiryczne do sprawdzenia precyzji wyceny w relacji do cen rynkowych generowanych przez model F. Blacka i M. Scholesa. Ponadto, przeprowadzana jest analiza wrażliwości wyceny opcji. Otrzymane wyniki wskazują, iż model J. Hulla i A. White’a, w swojej podstawowej postaci, pozwala wycenić opcje równie dobrze jak model F. Blacka i M. Scholesa, bez konieczności jednak wprowadzania założenia upraszczającego opis funkcjonowania rynku kapitałowego, tj. stałości wariancji stóp zwrotu z aktywów bazowych.

EN

In this article Hull – White model is analyzed. As a part of the subject matter theoretical aspects of the considered approach are presented. Then, empirical data is used to verify the accuracy of valuation with respect to the Black - Scholes model. In addition, the analysis of sensitivity of option pricing is performed. The results indicate that the Hull - White model allows to price options similarly to the Black – Scholes model but without imposing simplifying assumption which refers to description of the functioning of the capital market, i.e. constant variance of returns of the underlying assets.

Keywords

PL

model J. Hulla i A. White’a; szereg Tayora; wycena opcji

EN

Hull – White model; Taylor series; option pricing

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2016
• Volume: 17
• Issue: 3
• Pages: 120-130

Contributors

author

Orzechowski Arkadiusz

• Instytut Bankowości, SGH w Warszawie

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