Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 2 Studia Ekonomiczne

Authors help

  1. 1 Iskra D.

  2. 1 Orzechowski A.

Years help

  1. 1 2014

  2. 1 2013

Results found: 2

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  Opcje europejskie
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Publication available in full text mode
Content available

Czy można wycenić opcje europejskie lepiej niż w modelu P. Carra i D. Madana? Przegląd modeli opartych na transformacie Fouriera

100%
Orzechowski A.
Studia Ekonomiczne
|
2014
|
vol. 186 cz 2
157-174
EN
This document relates to the valuation of options using the Fourier transform. Topics covered in the document include both analysis of the traditional approaches and alternative concepts. The subject matter of particular interest is the speed and computational precision of the European-style option valuation methods.
2
Publication available in full text mode
Content available

Wartość zagrożona opcji europejskich szacowana przedziałowo. Symulacje

84%
Iskra D.
Studia Ekonomiczne
|
2013
|
vol. 124
183-192
EN
This paper presents a procedure for determining the value at risk ranges covering European options with a given level of confidence. Interval forecast VaR takes into account the uncertainty associated with the estimation error of the model parameters used. Option pricing model adapted Black-Sholes, and studies based on simulations.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.