Analiza wrażliwości ceny opcji o uwarunkowanej premii
Analysis of the contingent premium options price sensitivity
Author(s): Ewa DziawgoSubject(s): Economy
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: call option; put option
Summary/Abstract: The article presents the issues connected with contingent premium options: characteristic of instruments, the types of the options, the payoff function, the pricing model, the analysis the price of the option and the value of coefficients delta, gamma and vega for the standard and contingent premium options. The empirical illustration included in the article are concerned with the pricing simulations of the option on EUR/PLN
Journal: Studia i Prace WNEIZ US
- Issue Year: 2013
- Issue No: 31/1
- Page Range: 107-121
- Page Count: 15
- Language: Polish