Kształtowanie się cen opcji na indeks WIG 20 w świetle teorii wyceny arbitrażowej
Formation of Prices of Options on the WIG 20 Index in Light of the Arbitrage Pricing Theory
Author(s): Ryszard WęgrzynSubject(s): Economy, Business Economy / Management
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: option; arbitrage; pricing
Summary/Abstract: The aim of the study is to draw attention to changes in the option prices deviations from the specific relationships resulting from arbitration in the context of the development of the Polish options market. The analysis involved comparison of the number and size of deviations from the limitations and properties of option prices, from the put-call parity and comparison of the possibilities of achieving income from arbitration in two different periods of research. The selected call and put options on the WIG20 index, traded on the Warsaw Stock Exchange, were subjected to detailed analysis. Based on the obtained results it can be stated that the number of the option prices deviations from the specific relationships has clearly decreased, and more importantly the scale of deviations has significantly reduced. Minor size of deviations from the relationships arising out of the arbitration brings the reality of the Polish options market to the assumptions of the arbitrage pricing theory.
Journal: Finanse, Rynki Finansowe, Ubezpieczenia
- Issue Year: 2016
- Issue No: 82 (1)
- Page Range: 651-661
- Page Count: 11
- Language: Polish