Vrednotenje delniških opcij v bančnem sistemu

magistrsko delo

Anja Peček (Author), Miklavž Mastinšek (Mentor)

Abstract

V magistrskem delu analiziramo vrednotenje delniških opcij ter metodo "delta hedging", s katero lahko investitorji zmanjšajo izpostavljentost tveganju, ki ga prinaša izdaja izvedenega finančnega instrumenta. V teoretičnem okvirju dela opredelimo vrste izvedenih finančnih instrumentov in se v nadaljevanju osredotočimo na podrobnejšo analizo nakupne in prodajne opcije, ki predstavlja osnovo za vrednotenje preostalih oblik izvedenih finančnih instrumentov. Ugotavljamo, da na ceno delniške opcije vpliva izvršilna cena, čas do dospetja opcije, volatilnost osnovnega instrumenta, netvegana obrestna mera in tržna cena delnice. V empiričnem delu se osredotočimo na analizo portfelja nakupne opcije in določenega števila delnic po metodi "delta hedging". Parameter delta definira število kupljenih oziroma prodanih delnic, s čimer doseže investitor na dan dospetja opcije delta-nevtralen portfelj. Z analizo prodajne opcije ugotavljamo, da lahko investitor z nakupom delnice izgubo le-te pokrije z nakupom prodajne opcije.

Keywords

izvedeni finančni instrumenti;delnice;delniške opcije;nakup;prodaja;tveganje;vrednotenje;

Data

Language:	Slovenian
Year of publishing:	2017
Typology:	2.09 - Master's Thesis
Organization:	UM EPF - Faculty of Economics and Business
Publisher:	[A. Peček]
UDC:	336.76(043.2)
COBISS:	12825628
Views:	872
Downloads:	128
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	ǂThe ǂvaluation of stock options in a banking system
Secondary abstract:	In the master's thesis, we will analyze the valuation of stocks options and the "delta hedging" method by which investors can reduce the exposure to the risk that is posed by the issuance of a derivative. In the theoretical framework of this master thesis we will define the types of derivatives, and in the following we will focus on a more detailed analysis of the call and put options, which forms the base for future evaluation of the remaining forms of the derivative financial instruments. We note that the share price option is influenced by the strike price, by the maturity of the option, by the volatility of the underlying instrument, by the risk-free rate and the market price of the share. In the empirical part, we will focus on the analysis of the call option and a certain number of shares according to the "delta hedging" method. The delta parameter defines the number of shares that are purchased or sold, by which the investor on the day of maturity of the option is reaching a delta-neutral portfolio. By analyzing the put option we will discover that investor can cover a loss of purchased shares by purchasing a put option.
Secondary keywords:	risks;call option;put option;"delta hedging";delta parameter.;
URN:	URN:SI:UM:
Type (COBISS):	Master's thesis/paper
Thesis comment:	Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages:	III, 61 str., 4 str. pril.
ID:	10847318