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Тестване Обективността На Прецизиращите Параметри На Валутните Опции

Author

Listed:
  • Теодор Тодоров

    (Стопанска академия "Д.А.Ценов")

Abstract

В настоящата студия изследваме чувствителността на всеки фактор, въздействащ върху стойността на опционната премия. Промяната на ценообразуващите компоненти води след себе си до променливост на стойността на цената на валутната опция. Използваната методика за дефинирането на рисковата атрибуция на опционните контракти се базира на емпиричното прилагане на известните в специализиранaта литература гръцки коефициенти (делта, гама, вега, тита, вана, ламбда и ро), които изразяват степента на изменение на опционната цена в зависимост от различен фактор.

Suggested Citation

  • Теодор Тодоров, 2018. "Тестване Обективността На Прецизиращите Параметри На Валутните Опции," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, vol. 14(14 Year 2), pages 97-122.
    • Handle: RePEc:dat:almphd:v:14:y:2018:i:14:p:97-122
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    File URL: http://hdl.handle.net/10610/4106
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    More about this item

    Keywords

    валутна опция; делта; гама; вега; тита; ро; вана опционна премия;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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