Własności opcji capped
Properties of capped options
Author(s): Ewa DziawgoSubject(s): Economy
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: derivatives; options; capped option
Summary/Abstract: The article presents the issues connected with capped options: characteristic of the instrument, pricing model, payoff function, the influence of selected factors on the option price and the value of Greek coefficients (delta, gamma, vega, theta, rho) and the uses of options in risk management. The empirical data included in the article are concerned with the pricing simulations of the standard and capped options on EUR/PLN.
Journal: Finanse, Rynki Finansowe, Ubezpieczenia
- Issue Year: 2013
- Issue No: 63
- Page Range: 91-107
- Page Count: 17