FX-LINKED STRUCTURED TIME DEPOSITS VERSUS BARRIER AND STANDARD OPTIONS: A COMPARATIVE STUDY

• Authors: Krawiec Monika
• Languages of publication: EN

Abstracts

EN

The paper provides a short description of barrier options together with an analysis of their performance compared to the performance of standard options and structured time deposits that incorporate the element of barrier in their construction. The results obtained show that some of considered structured time deposits linked to the foreign exchange rates and standard options could bring some profits unlike the majority of coressponding barrier options. The disadavantage of barrier options is they can stay inactive or a “spike” in the underlying asset price can cause the option to be knocked-out.

Keywords

EN

structured time deposits; barrier options; foreign exchange rates

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2018
• Volume: 19
• Issue: 4
• Pages: 398-410

Contributors

author

Krawiec Monika

• Faculty of Applied Informatics and Mathematics, Warsaw University of Life Sciences – SGGW, Poland

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