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Indexált alaptermék árú opciók
[Indexed options based on the underlying price]

Author

Listed:
  • Radnai, Márton

Abstract

Indexált opcióknak nevezzük leegyszerűsítve azon opciókat, amelyek csak akkor hívhatók le nyereséggel, ha az adott részvény hozama egy bizonyos index hozamát meghaladja. Cikkünkben bemutatjuk, hogy az irodalomban eddig ismertetett konstrukciók - amelyek a kötési árfolyam indexálását végezték el - nem szüntetnek meg minden indexkockázatot. Javaslatot teszünk ezért egy új típusú indexált opcióra, amelyben az alaptermék árát indexáljuk, így minden indexkockázatot kiszűrünk. Megadjuk ezen opciók értékelési összefüggéseit, és bemutatjuk, hogy ezek nemcsak a menedzseri javadalmazás, hanem a tőzsdei kereskedés területén is alkalmazhatók. Journal of Economic Literature (JEL) kód: G13, M52.

Suggested Citation

  • Radnai, Márton, 2005. "Indexált alaptermék árú opciók [Indexed options based on the underlying price]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(2), pages 130-143.
    • Handle: RePEc:ksa:szemle:743
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • M52 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Personnel Economics - - - Compensation and Compensation Methods and Their Effects

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