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Assessment of option price volatility

Abstract

Financial derivatives are becoming increasingly popular on a daily basis. As markets become more unpredictable, companies and individual investors are increasingly using these tools to manage risk, leverage, and increase investment returns. The most important aspect of any contract is the contract price, as the financial result of the contract depends on the price. Also for an options. In each case, the option price depends on many factors that are difficult to define and predict in advance. The price sensitivity of the option allows you to determine where and on what the option price depends. Knowing this, the investor can manage the risk of the options. The purpose of the article is to assess the sensitivity of different options to market factors based on scientific literature and real market data. The study uses the Black-Scholes option pricing model, calculating and analyzing the value of Greek letters for the determination and valuation of transaction price sensitivity. The study showed that the most sensitive to changes in the underlying asset price, volatility and risk-free interest rate is the price of the currency option, and the price of the gold option is most sensitive over time (although in theory, gold retains its value in the long run). Knowing which components a particular option is sensitive to and capable of predicting changes in those components, you can predict changes in the option price and avoid additional risk.


Article in Lithuanian.


Pasirinkimo sandorių kainos jautrumo vertinimas


Santrauka


Dėl finansų inžinerijos atsiradusios išvestinės finansinės priemonės kasdien vis labiau populiarėja. Rinkoms tampant labiau nenuspėjamoms, įmonės ir individualūs investuotojai vis dažniau naudoja šias priemones rizikai ir įsipareigojimams valdyti, bei investicijų grąžai didinti. Sudarant bet kurį sandorį, svarbiausias aspektas – sandorio kaina, nes nuo jos priklauso finansinis sandorio rezultatas. Ne išimtis ir pasirinkimo sandoriai. Kiekvienu atveju pasirinkimo sandorio kaina priklauso nuo daugelio veiksnių, kuriuos sunku apibrėžti ir numatyti iš anksto. Pasirinkimo sandorio kainos jautrumo vertinimas leidžia nustatyti, nuo ko ir kaip priklauso pasirinkimo sandorio kaina. Tai žinodamas investuotojas gali valdyti pasirinkimo sandorių riziką. Straipsnio tikslas – remiantis mokslinės literatūros šaltiniais ir realiais rinkos duomenimis, įvertinti skirtingų pasirinkimo sandorių kainos jautrumą rinkos veiksniams. Tyrimui atlikti taikomas Black-Scholes pasirinkimo sandorių kainodaros modelis, sandorių kainos jautrumui nustatyti ir vertinti apskaičiuojamos ir analizuojamos graikiškųjų raidžių reikšmės. Atlikus tyrimą paaiškėjo, kad bazinio turto kainos pokyčiams, kintamumo ir nerizikingos palūkanų normos pokyčiams jautriausia yra valiutos pasirinkimo sandorio kaina, o laikui jautriausia yra aukso pasirinkimo sandorio kaina (nors teoriškai auksas ilgu laikotarpiu puikiai išsaugo savo vertę). Žinant, kurioms komponentėms tam tikras pasirinkimo sandoris yra jautrus ir sugebant prognozuoti tų komponenčių pokyčius, galima numatyti pasirinkimo sandorio kainos pokyčius ir išvengti papildomos rizikos.


Reikšminiai žodžiai: pasirinkimo sandoris, kainos jautrumas, graikiškosios raidės, Black-Scholes modelis, išvestinė finansinė priemonė.

Keyword : option contract, price sensitivity, Greek letters, Black-Scholes model, derivative

How to Cite
Sodaunykaitė, V., & Martinkutė-Kaulienė, R. (2020). Assessment of option price volatility. Mokslas – Lietuvos Ateitis / Science – Future of Lithuania, 12. https://doi.org/10.3846/mla.2020.9139
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Mar 31, 2020
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