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Zmiana wartości kapitału ryzyka pod wpływem zastosowania dynamicznego zabezpieczenia opcji zakupu energii elektrycznej

100%
Krysta B., Kudyba D.
Studia Ekonomiczne
|
2013
|
vol. 155
495-508
EN
Progressing liberalization and electricity market development in Poland results increase of competitiveness. The new products being offered to customers are increasingly more complex and sophisticated. Accordingly, it requires a challenge for both portfolio and risk management skills. Considering market risk peculiarity within the frame of energy market as well as lack of energy derivatives market - including options contracts, position's hedging becomes very difficult. Hedging efficiency determines risk exposure and furthermore risk capital demand. Dynamic hedging approach described in this paper has been focused especially on short position in call option, written as a compliment - additional value for customer. The main purpose of presented approach is to provide stable enough financial performance and adequate risk's yield premium.
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Własności hybrydowej opcji korytarzowej

100%
Dziawgo E.
Studia Ekonomiczne
|
2014
|
vol. 186 cz 2
144-156
EN
The article presents the issues connected with hybrid options corridor: characteristic instruments, payoff function, pricing model, the influence of selected factors on the price an the value of delta coefficients. The empirical data included in the article are concerned with the pricing simulations of the options on EUR/PLN.
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