Grški parametri in zaščita portfelja pred tveganji

delo diplomskega seminarja

Filip Nose (Author), Damjana Kokol-Bukovšek (Mentor), Aleš Toman (Co-mentor)

Abstract

V delu diplomskega seminarja najprej spoznamo opcije in njihov pomen. Osredotočimo se samo na evropske opcije na delnice in spoznamo Black-Scholesovo formulo, ki je namenjena vrednotenju teh opcij v Black-Scholesovem modelu finančnega trga. Model je določen s ceno delnice in njeno volatilnostjo ter netvegano obrestno mero. V nadaljevanju predstavimo vpliv raznih spremenljivk trga na spremembe vrednosti evropske opcije. O tem nam veliko povejo grški parametri. V delu izpeljemo vrednosti najbolj znanih grških parametrov in na konkretnem zgledu preverimo njihovo uporabnost. Nato z grškimi parametri optimiziramo portfelj v smislu zaščite vrednosti portfelja pred tržnimi tveganji. Pogledamo si dve najbolj osnovni zaščiti in ju med sabo primerjamo ob različnih dogodkih na trgu. Na koncu z uporabo zaščite portfelja opišemo še trgovanje z implicirano volatilnostjo. Na primeru si ogledamo, kako trgovalec v svoj prid izkoristi svoja pričakovanja glede večje spremembe implicirane volatilnosti.

Keywords

finančna matematika;evropske opcije;Black-Scholesova formula;grški parametri;zaščita pred tveganji;trgovanje z volatilnostjo;

Data

Language:	Slovenian
Year of publishing:	2021
Typology:	2.11 - Undergraduate Thesis
Organization:	UL EF - Faculty of Economics
Publisher:	[F. Nose]
UDC:	519.8
COBISS:	76691715
Views:	776
Downloads:	95
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Option Greeks and hedging
Secondary abstract:	In the diploma thesis, we are first introduced to options and their meaning. The focus is on European stock options and we learn about the Black-Scholes formula which gives us the value of these options in the Black-Scholes model of the financial market. The model is determined by the stock price, its volatility, and the risk-free interest rate. Later, we learn about the effects of various market variables on changes in the value of the European option. Option Greeks describe these effects approximately. We derive the values of the best-known option Greeks and take a look at their application in practice. With their help, we optimize the portfolio in terms of risk mitigation (hedging). We then look at two basic hedging strategies and compare them as different market events happen. Finally, we look at how traders use hedging to trade implied volatility and how they make money when their prediction about the evolution of implied volatility is correct.
Secondary keywords:	European options;Black-Scholes formula;Greeks;hedging;volatility trading;
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:	31 str.
ID:	13424978