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

Results found: 8

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  option
help Sort By:

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

Wpływ czasu wygaśnięcia na własności hybrydowej opcji collar

100%
Dziawgo E.
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
|
2013
|
vol. 47
|
issue 3
EN
The aim of the paper is to present the influence of time to maturity on the properties of hybrid collar options. The article presents: characteristic of collar options, the pay-off function, the influence of selected factors (the price of the underlying instrument and the option’s time to maturity) on the price and on the value Greek coefficients (delta, gamma, vega, theta and rho) of those options. The empirical illustration included in the article are concerned with the pricing simulations of the currency options on EUR/PLN.
PL
Artykuł nie zawiera abstraktu w języku polskim
2
Publication available in full text mode
Content available

CONSTRUCTION AND PROPERTIES OF VOLATILITY INDEX FOR WARSAW STOCK EXCHANGE

100%
Wiśniewski T.
Metody Ilościowe w Badaniach Ekonomicznych
|
2014
|
vol. 15
|
issue 1
218-223
EN
Volatility indices became a important factors on capital markets and are considered as fear factors. First volatility index VIX, was defined for Chicago Board of Trade in 1993, and was developed in 2003. In next years we observed growing numbers of volatility indices on main capital market around of the world. There were more than 20 volatility indices on capital markets at the end of 2012. The aim of this study is construction of the volatility index considering to Warsaw Stock Exchange trading rules and market participants. We also test the “fear factor” properties of this index.
3

Opcje – jak wyceniać, aby zyskać?

75%
Duczkowski N.
Studia Ekonomiczne (Economic Studies)
|
2009
|
issue 1-2(60-61)
93-116
EN
The purpose of this publication is to analyze different methods of option valuation on the example of options listed on the Warsaw Stock Exchange. Models used for comparison are: Black-Scholes, binomial, Shelton, and the Monte Carlo method in two variants. An important part of the analysis is also a comparison of methods of estimating the basic instruments historical volatility, which have been compiled with the implied volatility. An important feature of this study is the verification of assumptions, which have been made by the winners of the Nobel Prize in 1997, Myron Scholes and Robert Merton, to build their model of option pricing. The calculation uses closing prices of options and basic instruments, which were taken from the www.gpwinfostrefa.pl. To option pricing risk-free rate and dividend rate for the WIG20 index were also needed. They have been calculated on the basis of data published by the National Bank of Poland on the www.nbp.pl, stooq.pl. The study provided interesting results concerning the selection of the best model to value options traded on the Warsaw Stock Exchange, and allowed to observe the universal relationship between the natural logarithm of measurement error, and correlation coefficient between the share price and its variation. The study also confirmed some well-known relationship between valuation errors and the types of options and provides relevant information to characterize the specificity of the Polish stock market options.
4
Publication available in full text mode
Content available

CHARAKTERYSTYKA, KLASYFIKACJA I FUNKCJE INSTRUMENTÓW FINANSOWYCH

75%
Skolimowska A.
Civitas et Lex
|
2019
|
issue 2(22)
23-37
EN
The aim of this paper was to present main information about financial instruments. Financial instruments are very important for law and as well for economy; for this reason studies in this field are very broad and affects of many aspects. This article present a general characteristic, classification and main functions of financial instruments. The most important is the division of financial instruments on securities and derivative financial instruments. The derivatives market reallocates risk from the people who prefer risk aversion to the people who have an appetite for risk. Debt instruments are assets that require a fixed payment to the holder, usually with interest. The equity market (often referred to as the stock market) is the market for trading equity instrument.
5
Publication available in full text mode
Content available

Effectiveness of dynamic hedging using options on the WIG20 in current market conditions

63%
Węgrzyn R.
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
|
2020
|
issue vol. 64, nr 2
109-119
EN
Based on previous research on the deviations of the prices of options on the WIG20 from the arbitrage restrictions and features, it was found that the number and scale of these deviations clearly decreased, thus improving the quality of the arbitrage pricing of options. The purpose of this work in this context is to determine the effectiveness of dynamic hedging using options on the WIG20 in current market conditions and to compare the results with the results of previously conducted research. The study was carried out using the historical scenario method based on data from 2017-2018 shared by the Warsaw Stock Exchange. To compare the effectiveness of dynamic hedging, Value at Risk was applied to the unhedged portfolio and portfolios hedged by a specific hedging method. Based on the research, it can be concluded that among the delta, delta-gamma and delta-gamma-vega hedging analyzed, the most effective solution in the current market conditions is delta hedging. The research results indicate that despite qualitative changes on the market that improve the option price relations the delta-gamma and delta-gamma-vega hedging are in practice worse solutions than delta hedging.
XX
Na podstawie przeprowadzonych wcześniej badań odchyleń cen opcji na WIG20 od określonych ograniczeń i właściwości arbitrażowych stwierdzono, że liczebność i skala tych odchyleń wyraźnie się zmniejszyły, poprawiając jakość arbitrażowej wyceny opcji. Cele artykułu to określenie skuteczności hedgingu dynamicznego z zastosowaniem opcji na WIG20 w aktualnych warunkach rynkowych i porównanie uzyskanych wyników z wynikami przeprowadzonych wcześniej analiz. Badanie przeprowadzono metodą scenariusza historycznego na podstawie danych z lat 2017-2018 udostępnionych przez GPW w Warszawie. Do porównania skuteczności hedgingu dynamicznego zastosowano oszacowaną wartość zagrożoną (VaR) dla portfeli niezabezpieczonych i zabezpieczonych określonymi metodami hedgingu. Stwierdzono, że wśród przeanalizowanych hedgingów delta, deltagamma i delta-gamma-vega najskuteczniejszym rozwiązaniem w obecnych warunkach rynkowych jest hedging delta. Mimo zmian jakościowych na rynku poprawiających relacje cenowe opcji hedgingi delta-gamma i delta-gamma-vega są w praktyce gorszymi rozwiązaniami niż hedging delta.
6
Publication available in full text mode
Content available

Performance based compensation – a practical guidance on remuneration of corporate executives

63%
Kecskés A., Halász V.
Studia Prawno-Ekonomiczne
|
2014
|
vol. XCII (92)
69-90
EN
W ostatnich dziesięcioleciach nastąpiły istotne zmiany w zakresie wynagrodzeń osób zarządzających firmami. Nie tylko tendencja wzrostu tych wynagrodzeń, lecz także znaczące przejście w kierunku uwzględniania czynników opartych na wyniku i (szczególnie) wartości rynkowej firmy, sprawiły, że zjawisko to zwróciło uwagę prawników i ekonomistów. W artykule tym autorzy, w oparciu o obowiązujące regulacje prawne, chcieliby rzucić światło na praktyczne aspekty określania wysokości uposażeń osób zarządzających korporacjami.
7
Publication available in full text mode
Content available

The iron condor strategy in financial risk management

63%
Dziawgo E.
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
|
2020
|
issue vol. 64, nr 2
33-44
EN
The iron condor strategy is a complex option strategy that combines two option spread strategies. The design of this strategy makes it possible to make profits from underlying instruments whose prices are in horizontal trends over a certain period. The research objective of the article is to analyse the risk resulting from the iron condor strategy. The article presents the structure of the strategy, the pricing model, the impact of the price of the underlying instrument on the value of the strategy and on the value of the delta, gamma, vega, and theta ratios. These ratios are measures of the risk of option contracts. The empirical illustration contained in the article is based on the simulation of the valuation of currency options issued in EUR/PLN.
PL
Strategia iron condor jest złożoną strategią opcyjną, która polega na łączeniu dwóch strategii opcyjnych rozpiętościowych. Jej konstrukcja umożliwia osiaganie zysków z instrumentów podstawowych, których ceny w pewnym okresie znajdują się w trendach horyzontalnych. Celem artykułu jest analiza ryzyka strategii iron condor. Przedstawiono w nim konstrukcję strategii, model wyceny, wpływ ceny instrumentu bazowego na wartość strategii oraz na kształtowanie się wartości współczynników delta, gamma, vega i theta. Współczynniki te są głównymi miarami ryzyka kontraktów opcyjnych. Określają wpływ zmiany wartości czynnika ryzyka na cenę kontraktu. Ilustrację empiryczną zawartą w artykule przeprowadzono na podstawie symulacji wyceny opcji walutowych wystawionych na EUR/PLN.
8
Publication available in full text mode
Content available

The Central-European Economic Effects of the WWI

51%
Szávai F.
Central European Papers
|
2014
|
vol. 2
|
issue 2
164-178
EN
The First World War brought total economic exhaustion to the Central-European region. It caused problems in the workforce, and finances. Together with inflation, it emerged in the form of a serious government debt. The agricultural balance of the world was lost, as well as the system of financial gold standard. In this, new, Central-European region, the typical form of existence was the economy of self-supply, and the policy of seclusion. After the dissolution of the great economic unity, the national assets became the possession of the former member states of the Monarchy; however, in numerous cases it gave grounds for quarrels and complaints. Among these, in this study, I concentrated on the cases of options, pension provisions and old crown accounts.
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.