Sensitivity Model Analysis of the Floating-strike Lookback Call Option Pricing

• Autorzy: Ewa Dziawgo
• Języki publikacji: EN

Abstrakty

EN

The article presents the issues connected with the floating-strike lookback options: the types of the options were characterized, the pricing model was described and the influence of selected factors on the pricing of the analysed lookback options was shown. The empirical research covered in the article deals with the impact of volatility, minimum of the underlying asset price, and time of expiration on the pricing of the lookback call options. The study of the prices was carried out on the examples of the lookback and standard options pricing on EUR as well as the influence of the selected factors on the price of the analysed options was examined. On the basis of the performed simulations the comparative analysis of the prices for the standard and lookback options was demonstrated.(fragment of text)

Słowa kluczowe

EN

Sensitivity analysis; Call options; Pricing models; Comparative analysis

PL

Analiza wrażliwości; Opcja kupna; Modele wyceny; Analiza porównawcza

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 125--132

Twórcy

autor

Ewa Dziawgo

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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