Indeksne opcije

delo diplomskega seminarja

Katarina Kromar (Author), Damjana Kokol-Bukovšek (Mentor), Aleš Toman (Co-mentor)

Abstract

Indeksne opcije so izveden finančni instrument, pri katerem ima imetnik opcije pravico kupiti ali prodati vrednost osnovnega indeksa po navedeni izvršilni vrednosti na določen datum v prihodnosti. Imetnik ima tako pravico, ne pa tudi dolžnosti. Ker je indeks kot osnovno premoženje bolj podoben fizičnemu kot finančnemu blagu, hkrati pa z njim ne moremo neposredno trgovati, v delu diplomskega seminarja omenimo tudi opcije na fizično blago ter opcije na terminske posle. Zaradi pozitivnih stroškov lastništva, ki se pojavijo v primeru terminskih poslov na indekse, se nam poraja vprašanje, ali je vrednotenje indeksnih opcij z uporabo Black-Scholesove formule dovolj natančno. Fisher Black (1976) je predlagal, da v Black-Scholesovi formuli namesto trenutnih cen raje uporabimo diskontirane terminske cene. Empirične raziskave so pokazale, da je Blackov pristop boljši. Primerjavo modelov smo na realnih podatkih indeksnih opcij na indeks S&P 500 izvedli tudi sami. V nasprotju z ugotovitvami drugih avtorjev naša raziskava kaže na rahlo prednost Black-Scholesovega modela pri nakupnih opcijah in rahlo prednost Blackovega modela pri prodajnih opcijah.

Keywords

finančna matematika;indeksne opcije;vrednotenje opcij;Black-scholesov model;Blackov model;stroški lastništva;

Data

Language:	Slovenian
Year of publishing:	2018
Typology:	2.11 - Undergraduate Thesis
Organization:	UL EF - Faculty of Economics
Publisher:	[K. Kromar]
UDC:	519.8
COBISS:	18433625
Views:	792
Downloads:	226
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Index options
Secondary abstract:	An index option is a financial derivative that gives the holder the right to buy or to sell the value of the underlying index at the stated exercise price on or before the expiration date of the option. The holder has the right, but not the obligation to exercise the option. Since indices are actually more similar to physical goods than financial assets and at the same time, you can only trade with them indirectly, in this diploma thesis, I also mention options on physical goods and future options. Because the cost of carry occurs in the case of index futures, the question arises whether the valuation of index options using the Black-Scholes formula is sufficiently precise. Fisher Black (1976) suggested that in the Black-Scholes formula, discounted forward prices should be used instead of spot prices. Empirical research has shown that Black's approach is better. I compared the two approaches using real data on index options on the index S&P 500. Contrary to the findings of other authors, my study points to a slight advantage of the Black-Scholes model when pricing call options and slight advantage of Black's model when pricing put options.
Secondary keywords:	index options;options pricing;Black-Scholes model;Black model;cost of carry;
Type (COBISS):	Final seminar paper
Study programme:	0
Thesis comment:	Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja
Pages:	32 str.
ID:	10959361