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Tytuł artykułu
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Warianty tytułu
Model Risk Valuation in Option Pricing
Języki publikacji
Abstrakty
W artykule tym skupimy się na zagadnieniu pomiaru ryzyka modelu. Analizowanym źródłem ryzyka modelu będzie tylko niepewność co do oszacowań parametrów modelu przy zadanym modelu (zatem przyjmujemy, że model jest prawidłowy i prawidłowo wykorzystany). Badanymi modelami będą modele wyceny opcji indeksowych, a przeprowadzone badania będą dotyczyć opcji wystawionych na indeks WIG20. (fragment tekstu)
Empirical research conducted in index option pricing models pointed out that results are very sensitive to assumptions laying upon them and necessity of managing this type of risk. One of the steps in risk management process is the risk measurement. For the options good risk measure is vega coefficient (first derivative of the option value with respect to volatility of underlying). Models risk measurement in the index option pricing area was illustrated with estimation error example (bad specification of stochastic process for the rate of return). Vega coefficients were calculated based on market prices also. So called empirical vega do not show any regularities and it is not characterized by the same properties as vega coefficient which is calculated from the models. (original abstract)
Słowa kluczowe
Rocznik
Tom
Strony
93--102
Opis fizyczny
Twórcy
autor
- Akademia Ekonomiczna we Wrocławiu
Bibliografia
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- Crouhy M., Galai D., Mark R. (2001), Risk Management, McGraw-Hill, New York.
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- Gątarek D. (2002), Ryzyko modelu, "Rynek Terminowy" nr 4, s. 52-55.
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- Merton R. (1973), Theory of Rational Option Pricing, "Bell Journal Economics and Management Science" nr 4, s. 141-183.
- Rebonato R. (2003), Theory and Practice of Model Risk Management, [w:] Modem Risk Management: a History, red. P. Field, Risk Book.
- Temple P. (2001), Hedge Funds: Courtesans of Capitalism, John Wiley and Sons, New York.
Typ dokumentu
Bibliografia
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