Wpływ parametru luki na ryzyko opcji sprzedaży

• Authors: Ewa Dziawgo
• Languages of publication: PL

Abstracts

PL

Gap options are singular payoffs options characterized by discontinuity of pay-offfunction. The article presents the properties of the gap put option: construction ofinstrument, the pay-off function, the pricing model, the influence of selected factorson the pricing and the value measurements of risk (coefficients delta, gamma,vega, theta, rho). The paper analyses the influence of the underlying instrument’sprice, the time maturity and the gap parameter on the risk performance of the putoptions using pricing simulations of the currency options on EUR/PLN.

Keywords

PL

put option, derivatives

• Publisher: Szkoła Główna Handlowa w Warszawie
• Journal: Kwartalnik Kolegium Ekonomiczno-Społecznego Studia i Prace
• Year: 2015
• Volume: 3
• Issue: 3
• Pages: 119-131

Dates

published

2015-12-13

Contributors

author

Ewa Dziawgo

Identifiers

DOI

10.33119/KKESSiP.2015.3.3.9