Opcje – jak wyceniać, aby zyskać?

• Authors: Norbert Duczkowski

Title variants

EN

ANALISIS OF DIFFERENT METHODS OF OPTION VALUATION

• Languages of publication: PL

Abstracts

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.

Keywords

EN

option; Shelton model; binomial model; Black-Scholes model; Monte Carlo method; the volatility; WSE

• Publisher: Institute of Economic Sciences, Polish Academy of Sciences
• Journal: Studia Ekonomiczne (Economic Studies)
• Year: 2009
• Issue: 1-2(60-61)
• Pages: 93-116

Contributors

author

Norbert Duczkowski

• absolwent magisterskich studiów dziennych na Wydziale Zarządzania Uniwersytetu Warszawskiego