Izvršitev ameriških opcij na realnih trgih

delo diplomskega seminarja

Jona Gričar (Author), Janez Bernik (Mentor), Aleš Toman (Co-mentor)

Abstract

Ameriška opcija je pogodba med nosilcem in izdajateljem opcije, s katero se dogovorita o pravici do nakupa oziroma prodaje osnovnega premoženja po vnaprej določeni izvršilni ceni na katerikoli dan v prihodnosti do zapadlosti opcije. Teorija opcij pravi, da se izvršitev ameriške nakupne opcije na delnico, ki ne izplačuje dividend, pred datumom zapadlosti ne splača, saj jo je vselej bolje prodati kot izvršiti. Izkušnje s finančnih trgov kažejo, da je zgodnje izvršenih veliko ameriških nakupnih opcij. V delu diplomskega seminarja predstavimo empirično študijo, ki razkriva razsežnost zgodnjih izvršitev opcij in jo skuša pojasniti s finančnimi trenji, na primer stroški kratke prodaje in transakcijskimi stroški, ki jih klasični modeli trga zanemarijo. Nato opišemo diskreten in zvezen model trga, ki upoštevata finančna trenja in omogočata izračun spodnje izvršitvene meje opcije. To je kritična cena delnice, nad katero se ameriško nakupno opcijo splača izvršiti tudi pred zapadlostjo. Spodnja izvršitvena meja pada pri zvišanju stroškov kratke prodaje, stroškov financiranja in zahtevanih vzdrževalnih kritij za opcije in delnice. Na koncu dela še pokažemo, da opisani zvezni model učinkovito pojasni empirične podatke o zgodnjih izvršitvah opcij na realnih trgih.

Keywords

finančna matematika;ameriška nakupna opcija;zgodnja izvršitev;delnice;zapadlost;finančna trenja;izvršitvena meja;notranja vrednost;

Data

Language:	Slovenian
Year of publishing:	2019
Typology:	2.11 - Undergraduate Thesis
Organization:	UL FMF - Faculty of Mathematics and Physics
Publisher:	[J. Gričar]
UDC:	519.8
COBISS:	18816089
Views:	996
Downloads:	177
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Exercising American options in real markets
Secondary abstract:	An American option is a contract between the option holder and option writer in which they agree on the right to buy or sell the underlying asset at a predetermined strike price on someday in the future no later than the option expiration date. In theory, an American call option on a non-dividend paying stock should never be exercised before its expiration day, hence it is always better to sell it rather than exercising it. Financial practice shows that many American call options are exercised early. In this diploma thesis, we present an empirical study that reveals a widespread of early exercises and tries to relate them to financial frictions observed in the markets, such as short-sale costs and transaction costs, which are typically disregarded in the classical models. Then we describe a discrete and a continuous market model that take financial frictions into account and allow us to derive the lower exercise boundary of an option. This is the critical stock price above which early exercise of an American call option is rational. The lower exercise boundary decreases as the short-sale costs, funding costs, and the required maintenance margins for options and stocks increase. We conclude the thesis by demonstrating that the proposed continuous model efficiently explains early options exercises in real financial markets.
Secondary keywords:	American call option;early exercise;stock;expiration date;financial frictions;exercise boundary;intrinsic value;
Type (COBISS):	Final seminar paper
Study programme:	0
Embargo end date (OpenAIRE):	1970-01-01
Thesis comment:	Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja
Pages:	30 str.
ID:	11221904