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  1. 1 Studia Ekonomiczne

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  1. 1 Czernik T.

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  1. 1 2013

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Wpływ niepewności oszacowania zmienności na cenę instrumentów pochodnych

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Czernik T.
Studia Ekonomiczne
|
2013
|
vol. 124
131-142
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
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