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A volatilitás előrejelzése és a visszaszámított modellek
[Forecasting of volatility and implied models]

Author

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  • Zsembery, Levente

Abstract

A volatilitással és annak kockázatával az elmúlt másfél-két évben nemcsak a részvénypiaci befektetők, hanem a kötvény-alapkezelők és a devizaügyletekkel foglalkozók is megismerkedhettek. Bár az opciók - különösen a devizaopciók -, illetve az opciós jogokat tartalmazó értékpapírok piaca dinamikusan bővült az utóbbi időben, az opciók árazásában a világ sok pontján alkalmazott szofisztikált módszerek Magyarországon ma még csak szűk körben terjedtek el. A szerző azokat a modelleket mutatja be, amelyek alkalmasak lehetnek az újonnan kiírandó opcióknak a már piacon lévő opciók árával összhangban történő árazására, illetve annak elemzésére, hogy a piac milyen jövőbeli ár- és volatilitásalakulás lehetőségét rejti magában. Az elmúlt években több ilyen modell született, a tanulmány ezek közül csak azokat veszi sorra, amelyeknek az alapja vagy az idehaza is gyakran használ binomiális modell, vagy a véges differenciák módszere. A szerző célja a modellek felhasználóbarát bemutatása, illetve hibáik és erényeik összevetése. Journal of Economic Literature (JEL) kód: G12, G13, G19.

Suggested Citation

  • Zsembery, Levente, 2003. "A volatilitás előrejelzése és a visszaszámított modellek [Forecasting of volatility and implied models]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 519-542.
    • Handle: RePEc:ksa:szemle:619
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    References listed on IDEAS

    as
    1. Jackwerth, Jens Carsten, 1996. "Generalized Binomial Trees," MPRA Paper 11635, University Library of Munich, Germany, revised 12 May 1997.
    2. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    3. Dumas, Bernard J & Fleming, Jeff & Whaley, Robert E, 1996. "Implied Volatility Functions: Empirical Tests," CEPR Discussion Papers 1369, C.E.P.R. Discussion Papers.
    4. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    5. Rubinstein, Mark, 1994. "Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
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    Cited by:

    1. Misik, Sándor, 2023. "Korrelációbecslés a forintpiacon [Correlation forecasting on the Hungarian forint market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 772-794.

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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G19 - Financial Economics - - General Financial Markets - - - Other

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