ANALIZA WYCENY OPCJI EUROPEJSKICH W MODELU HULLA – WHITE’A
ANALYSIS OF HULL – WHITE MODEL
Author(s): Arkadiusz OrzechowskiSubject(s): Economy, Methodology and research technology
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: Hull – White model; Taylor series; option pricing;
Summary/Abstract: In this article Hull – White model is analyzed. As a part of the subject matter theoretical aspects of the considered approach are presented. Then, empirical data is used to verify the accuracy of valuation with respect to the Black - Scholes model. In addition, the analysis of sensitivity of option pricing is performed. The results indicate that the Hull - White model allows to price options similarly to the Black – Scholes model but without imposing simplifying assumption which refers to description of the functioning of the capital market, i.e. constant variance of returns of the underlying assets.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVII/2016
- Issue No: 3
- Page Range: 120-130
- Page Count: 11
- Language: Polish