Wpływ czasu wygaśnięcia na własności hybrydowej opcji collar The influence of time to expiration on properties of hybrid collar options
Journal Title: Annales Universitatis Mariae Curie-Skłodowska Sectio H Oeconomia - Year 2013, Vol 0, Issue 0
Abstract
The aim of the paper is to present the influence of time to maturity on the properties of hybrid collar options. The article presents: characteristic of collar options, the pay-off function, the influence of selected factors (the price of the underlying instrument and the option’s time to maturity) on the price and on the value Greek coefficients (delta, gamma, vega, theta and rho) of those options. The empirical illustration included in the article are concerned with the pricing simulations of the currency options on EUR/PLN.
Authors and Affiliations
Ewa Dziawgo
Keywords
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- EP ID EP168883
- DOI 10.17951/h.2013.47.3.143
- Views 56
- Downloads 0
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