Wycena bilansowa instrumentów finansowych na przykładzie syntetycznych strategii opcyjnych
Accounting valuation of financial instruments based on synthetic option strategies

Summary/Abstract: The article describes basic methods of creating synthetic instruments based on callput parity. The call-put parity is derived from the Black-Scholes model. By applying call-put parity it is possible to create synthetic shares, risk free rate investment, and call and put options. Analogically it is possible to construct other synthetic instruments. The analysis of interactions between base instruments and derivatives lets us assume that any instrument may be replicated by appropriate combination of others. Basing on call-put parity some main structures were created, ie.: strangle, straddle butterfly – all composed of synthetic instruments. For balance valuation of synthetic option strategies, two accounting methods are used: historical cost and market value.

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