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Modelowanie zmian zmiennych stanu w modelu dwumianowym do celów wyceny opcji realnych

100%
Targiel K.
Studia Ekonomiczne
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2014
|
vol. 178
220-234
EN
The concept of real options mean the actual (real) opportunities arising in business processes. We are not obliged to use them. Noticing these capabilities creates added value of the project. Its use depends on quantitative measurement. It is assumed that this value is dependent on some economic size called state variable. Additional value is derived from the fact, that the state variable moves in a stochastic process, thus being able to achieve a advantageous level. Widely used method for the valuation of real options is binomial tree method (CRR - Cox, Ross and Rubinstein). The idea is to cover the future trajectory of the state variable with lattice. The size of the lattice depends on the nature of the stochastic process, which we can model the state variable changes. The presented work is devoted to determining, on the basis of past changes, the type of stochastic process which is best for modeling the state variable changes, and determine on this basis of the best lattice covering the future trajectory of this variable.
2
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Dwumianowy model wyceny opcji w warunkach rozmytych informacji

100%
Przybycin Z.
Studia Ekonomiczne
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2013
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vol. 132
80-90
EN
In the article presents the modification of the binomial model of European option pricing. Adopted namely, that it is appropriate to the weakening of the assumptions about the mechanism of price formation on the underlying instrument. In the proposed option pricing model, mechanism of option pricing formation is described in terms of fuzzy numbers. In the article, also posted selected messages from the scope of fuzzy numbers and options.
3
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Czy można wycenić opcje europejskie lepiej niż w modelu P. Carra i D. Madana? Przegląd modeli opartych na transformacie Fouriera

75%
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.
4
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Wpływ niepewności oszacowania zmienności na cenę instrumentów pochodnych

75%
Czernik T.
Studia Ekonomiczne
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2013
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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
5
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Ryzyko modelu a miary ryzyka

75%
Jajuga K.
Studia Ekonomiczne
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2013
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vol. 152
73-81
EN
The paper discusses the problem of model risk, defined as risk resulting from the application of wrong model in real world. Three sources of model risk are distinguished: risk related to the structure of the model, risk of model estimation and risk connected with the application of the model. The main part of the paper presents the measures that can be used to evaluate risk of model estimation. Two particular cases are solved. The first one is the construction of two stock portfolio with minimal risk, the second one is option pricing. In both cases estimation risk results from the fact that main parameter, which is volatility (standard deviation if returns), has to be estimated. Finally, the paper states important conditions to limit model risk.
6
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Zmiana wartości kapitału ryzyka pod wpływem zastosowania dynamicznego zabezpieczenia opcji zakupu energii elektrycznej

63%
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.
7
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Własności hybrydowej opcji korytarzowej

63%
Dziawgo E.
Studia Ekonomiczne
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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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