Pomiar ryzyka modelu w wycenie opcji

• Autorzy: Katarzyna Kuziak

Warianty tytułu

Model Risk Valuation in Option Pricing

• Języki publikacji: PL

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)

EN

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

PL

Wycena opcji; Pomiar ryzyka

EN

Options pricing; Risk measures

• Czasopismo: Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Taksonomia
• Rocznik: 2006
• Tom: 13
• Numer: nr 1126 Klasyfikacja i analiza danych - teoria i zastosowania
• Strony: 93--102

Twórcy

autor

Katarzyna Kuziak

• Akademia Ekonomiczna we Wrocławiu

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