Wpływ parametru luki na ryzyko opcji sprzedaży
Influence of the Gap Parameter on the Risk of the Put Options
Author(s): Ewa DziawgoSubject(s): Business Economy / Management, Financial Markets
Published by: Szkoła Główna Handlowa w Warszawie
Keywords: put option; derivatives
Summary/Abstract: Gap options are singular payoffs options characterized by discontinuity of pay-off function. The article presents the properties of the gap put option: construction of instrument, the pay-off function, the pricing model, the influence of selected factors on the pricing and the value measurements of risk (coefficients delta, gamma, vega, theta, rho). The paper analyses the in$uence of the underlying instrument's price, the time maturity and the gap parameter on the risk performance of the put options using pricing simulations of the currency options on EUR/PLN.
Journal: Kwartalnik Kolegium Ekonomiczno-Społecznego „Studia i Prace”
- Issue Year: 23/2015
- Issue No: 3.3
- Page Range: 119-131
- Page Count: 14
- Language: Polish
