Εφαρμογή του διωνυμικού υποδείγματος για αντιστάθμιση και arbitrage
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Keywords
Options Valuations Models ; Binomial tree ; Black & Scholes Model ; European call options ; Delta hedging ; Arbitrage ; Implied volatility ; Volatility smile ; Delta hedging tracking errorAbstract
The theme of the thesis concerns the application of the Binomial model for hedging and arbitrage. The binomial model of Cox, Ross and Rubinstein (1979) and the mathematical model of Black and Scholes (1973) are used for option valuation and comparison purposes.
Initially, the theoretical piece is presented which is required for the comprehension of the empirical study. In theory, the discrete model of Cox, Ross and Rubinstein is developed, followed by some methods of estimating volatility. The main disadvantage of the correct pricing of options is that there is no specific method for calculating volatility, thus creating potential arbitrage. The hedging strategy to be followed is then developed, based on the risk sensitivity measure Delta of an option, to accomplish arbitrage.
This is followed by an empirical study of a sample of options with major market indices as the underlying asset. Finally, the results are compared and conclusions are drawn regarding the valuation methods for options and the methods for estimating the volatility of the underlying asset.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με ειδίκευση στη Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
83Language
Greek
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα