PL EN


2011 | LXXXIV (84) | 291-309
Article title

Determinanty ceny opcji na akcje – aspekt teoretyczny

Content
Title variants
EN
Determinants of option prices for stocks – theoretical aspect
Languages of publication
PL
Abstracts
EN
The aim of the paper was to present two the most important valuation models of American call option. In the scientific literature such models are well known, but the way the final formulas of them are conducted are not clearly presented. The detailed analysis of relationship between variables included in the model was also shown. The added value of the paper is the “step-by-step” analytical calculation of the premium value of the Black & Scholes formula and also the way the “Greek numbers” were derived. The paper consists of four chapters in which two models of options valuation and the way of calculation of “Greek numbers” were derived.
Year
Volume
Pages
291-309
Physical description
Dates
published
2011
Contributors
author
  • Katedra Ekonomii Matematycznej, Uniwersytet Jagielloński
  • Katedra Globalizacji i Integracji Ekonomicznej, Uniwersytet Jagielloński
References
  • Gontarek D., Maksymiuk R., Wycena i zabezpieczenie pochodnych instrumentów finansowych, K.E. Liber 1998.
  • Hull J., Kontrakty terminowe i opcje, Wyd. Wig-Press, Warszawa 1998.
  • Jakubowski J., Palczewski A., Rutkowski M., Stettner Ł., Matematyka finansowa, instrumenty pochodne, Wyd. Naukowo-Techniczne, Warszawa 2003.
  • Jakubowski J., Stencel R., Wstęp do teorii prawdopodobieństwa, Wyd. Script, Warszawa 2004.
  • Pliska R. S., Wprowadzenie do matematyki finansowej, modele z czasem dyskretnym, Wyd. Naukowo-Techniczne, Warszawa 2005.
Document Type
Publication order reference
Identifiers
ISSN
0081-309
YADDA identifier
bwmeta1.element.desklight-c63f5e7d-5a66-4e23-84f0-a4ac1a6d98c9
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