Influence of the Correlation Coefficient on the Risk of the Exchange Option

Ewa Dziawgo ()
Additional contact information
Ewa Dziawgo: Kazimierz Wielki University

A chapter in Eurasian Economic Perspectives, 2020, pp 241-249 from Springer

Abstract: Abstract The chapter illustrates the properties of the exchange option: the definition, construction, and functioning of instrument, instrument’s construction, types options, payoff functions, the pricing model, the effect of the correlation coefficient on the option price and value parameters: delta, vega, and theta. These parameters are the very important risk measures. The analysis of the variation in the value of risk measures provides information on the impact of changes of specific factors on the option price. The objective of this chapter is analysis of the influence of a change in the value of correlation coefficient between the return rates of underlying instruments on the variation in the option’s price and values of the risk measures. Many Polish firms running the businesses on Turkish and Romanian markets. So, the empirical research existed in this chapter are illustrated based on a simulation of valuations of currency exchange options of Turkish Lira (TRY) into Romanian Leu (RON).

Keywords: Instruments of financial market; Option’s risk; Measurement of risk (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurchp:978-3-030-35040-6_15

Ordering information: This item can be ordered from
http://www.springer.com/9783030350406

DOI: 10.1007/978-3-030-35040-6_15

Access Statistics for this chapter

More chapters in Eurasian Studies in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().