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The research into the impact of the uncertain factors on the Black–Scholes model parameters

Author

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  • Aleksandra Anusik

Abstract

Istotnym zagadnieniem w przypadku kontraktów opcyjnych jest ich wycena. Stosuje się do niej różnego rodzaju modele, z których najważniejsze to model probabilistyczny Blacka–Scholesa oraz model dwumianowy Coxa–Rossa–Rubinsteina (CRR). W artykule zbadano wpływ zjawisk niepewnych na parametry d1 i d2, potrzebne do wyliczenia wartości opcji w modelu Blacka–Scholesa. Dokonano także analizy wrażliwości ceny opcji na wprowadzane do modelu probabilistycznego zakłócenia oraz krótkiego porównania rezultatów tego doświadczenia z wynikami uzyskanymi w innym, analogicznym eksperymencie dotyczącym modelu dwustanowego CRR.

Suggested Citation

  • Aleksandra Anusik, 2008. "The research into the impact of the uncertain factors on the Black–Scholes model parameters," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 18(4), pages 5-17.
    • Handle: RePEc:wut:journl:v:4:y:2008:p:5-17
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