Analiza własności zmodyfikowanych opcji wstecznych o zmiennej cenie realizacji
Analysis of the properties of the modified floating strike lookback options
Author(s): Ewa DziawgoSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: options; modified lookback options; price performance
Summary/Abstract: The article presents the issues connected with the modified floating strike lookback options: instrument characteristics, payoff function, pricing model, the influence of selected factors on the option price. The empirical data included in the article are concerned with the pricing simulations of the options on eur/pln. The aim of the article is to present the properties of the modified floating strike lookback options as well as the comparative analysis of price performance of standard, lookback and modified lookback options.
Journal: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
- Issue Year: 2011
- Issue No: 158
- Page Range: 71-81
- Page Count: 11
- Language: Polish