Wpływ niepewności oszacowania zmienności na cenę instrumentów pochodnych

• Authors: Tadeusz Czernik

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

Keywords

PL

Model Blacka-Scholesa; Wycena instrumentów pochodnych; Wycena opcji

EN

Black-Scholes model; Derivatives pricing; Options pricing

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 124
• Pages: 131-142

Contributors

author

Tadeusz Czernik

References

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• Czernik T.: Skazani na formalizm Ito?, w: Metody matematyczne, ekonometryczne i informatyczne w finansach i ubezpieczeniach, red. P. Chrzan, Akademia Ekonomiczna, Katowice 2006.
• Haug E.G.: The complete option pricing formulas, McGraw-Hill 2007.
• Latane H., Rendleman R.: Standard deviations of stock price ratios implied in option prices, "Journal of Finance" 1976, No. 31.
• Oksendal B.: Stochastic differential equations, Springer 2007.
• Rubinstein M.: Implied Binomial Trees, "Journal of Finance" 1994, Vol. 49, No. 3.
• Shreve S.E.: Stochastic calculus for finance. Continuous-time model, Springer 2008.
• Sobczyk M.: Statystyka, PWN, Warszawa 2002.

Identifiers

ISSN

2083-8611