Vrednotenje opcij

delo diplomskega seminarja

Duška Nenić (Author), Sabina Taškar Beloglavec (Mentor)

Abstract

Opcije so na področju gospodarstva prisotne že dolgo časa, vse od antičnih civilizacij. Večjo veljavo v finančnih tokovih so dobile maja 1972, ko je prišlo do prve uspešne inovacije na področju izvedenih finančnih instrumentov in nastanka prvega terminskega trga, na katerem so trgovali s finančnimi instrumenti, ko so v Chicagu odprli Mednarodni denarni trg (IMM-International Monetary Market) in začeli trgovati s sedmimi različnimi valutami. Z izvedenimi finančnimi instrumenti se je začelo obsežneje trgovati leta 1974 po ukinitvi vezave ameriškega dolarja na zlati standard. Propad dogovora, sklenjenega v Bretton Woodsu, je vplival na povečanje stopnje negotovosti glede cenovnih sprememb na svetovnih trgih. V tem obdobju je tudi nastalo nekaj najuspešnejših oblik izvedenih finančnih instrumentov, s katerimi se še danes trguje na terminskih trgih. Najbolj pogosti izvedeni finančni instrumenti so: CFD – contract for difference – pogodba za razliko v ceni, Futures contract – STP ali standardizirana terminska pogodba , naložbeni certifikati in opcije. Opcija je enostransko oblikovalno upravičenje, z uresničitvijo katerega imetnik opcije doseže sklenitev pogodbe o nakupu, prodaji ali zamenjavi, katere predmet je osnovni instrument. Opcije delimo v dve skupini: opcija, ki omogoča nakup osnovnega instrumenta, se imenuje nakupna opcija (ang. Call); opcija, ki omogoča prodajo osnovnega instrumenta, pa imenujemo prodajna opcija (ang. Put). Osnovni instrument je lahko delnica, obveznica, valuta ali katera koli druga javno znana vrednost. Opcije je mogoče vrednotiti na štiri načine: ceno opcije je mogoče primerjati z vrednostjo osnovnega instrumenta, na katerega je opcija napisana, ali z višino udarne ali izvršilne cene; profitabilnost opcijske strategije preverjamo s cenami osnovnega instrumenta (določimo cene osnovnega instrumenta, v okviru katerih je opcija profitabilna); opcijski finančni prag oziroma njegov potencial primerjamo s cenovnimi spremembami osnovnega instrumenta; določite absolutne prave cene opcije. Opcije pa vrednotimo s pomočjo modelov za vrednotenje. Modela vrednotenja opcij delimo v tri skupine: • ekonometrični modeli (Sheltovnov model, Kassoufov model); • verjetnostni modeli (Sprenklov model, Samuelson–Meronov model, Garman–Kohlhagenov model, Black–Scholesov model); • računalniški modeli vrednotenja.

Keywords

izvedeni finančni instrumenti;opcije;vrednotenje;ekonometrični modeli;

Data

Language:	Slovenian
Year of publishing:	2014
Typology:	2.11 - Undergraduate Thesis
Organization:	UM EPF - Faculty of Economics and Business
Publisher:	[D. Nenić]
UDC:	336.76
COBISS:	11771932
Views:	1999
Downloads:	401
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Evaluating options
Secondary abstract:	Options have been in commerce since the Greek and Roman ancient civilizations. Although they were known, they were not used in later years. Breakthrough accured in May 1972, when first successful innovation in the field of derivatives arrived and the emergence of the first futures market. Chicago International Monetary Market (IMM-International Monetary Market) was opened and trade began with seven different currencies. The derivatives began trading extensively after U.S. abandoned its commitment to the gold standard in 1974. At the beginning of this era some of the most successful forms of derivatives were created, which are still in use on the futures markets. The most common derivative financial instruments are as follows: CFD - contract for difference, Futures contract – STP or investment certificates and options. The option is unilateral constitutive entitlement to the realization of the option holder reaches the conclusion of the contract of purchase, sale or exchange, the object of which is the basic instrument. Options are divided into two groups: an option that allows you to purchase the underlying instrument is called a Call option; option which allows the sale of the underlying instrument is called a Put option. The basic instruments can be stock, bond, currency or any other publicly known value. Options can be evaluated in four ways: the option price can be compared with the value of the underlying instrument on which the option is written or the amount of shock or strike price; profitability of option strategies checked by the prices underlying instrument (determine the price of the underlying instrument, under which the option is profitable); optional financial threshold and its potential compared to the price changes of the underlying instrument; specify the absolute right prices  options. Options are valued using models for evaluation. Models for evaluation can be divided into three groups: • Econometric models (Shelton model Kassouf model); • Probability models (Sprenkl model, Samuelson-Merton model, Garman-Kohlhagen model, Black-Scholes model); • Computer valuation models.
Secondary keywords:	derivatives;options;Put option;Call option;option valuation models;econometric models;probabilistic models;Black - Scholes model.;
URN:	URN:SI:UM:
Type (COBISS):	Final seminar paper
Thesis comment:	Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages:	45 str.
ID:	8724789