Influence the fluctuation of the price of the underlying instrument on the risk of the corridor options
Journal Title: Zarządzanie i Finanse - Year 2014, Vol 12, Issue 3
Abstract
The article presents the issues connected with corridor options: construction of the strategies, payoff function, the influence of the price of the underlying instrument’s on the value coefficients: delta, gamma, vega, theta, rho. The aim of the paper is to present the analysis of the influence of the price of the underlying instrument on the risk of the call corridor option and put corridor option. The empirical illustration included in the article are concerned with the pricing simulations of the currency corridor option on EUR/PLN.
Authors and Affiliations
Ewa Dziawgo
Keywords
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