- Tytuł:
-
Zmiana wartości kapitału ryzyka pod wpływem zastosowania dynamicznego zabezpieczenia opcji zakupu energii elektrycznej
The Change of Capital Risk Value Caused by the Dynamic Security of Electricity Call Options - Autorzy:
-
Krysta, Bartosz
Kudyba, Dominik - Powiązania:
- https://bibliotekanauki.pl/articles/586624.pdf
- Data publikacji:
- 2013
- Wydawca:
- Uniwersytet Ekonomiczny w Katowicach
- Tematy:
-
Energia elektryczna
Opcja kupna
Rynek energetyczny
Ryzyko
Wycena opcji
Call options
Electric power
Energy market
Options pricing
Risk - Opis:
- Progressing liberalization and electricity market development in Poland results increase of competitiveness. The new products being offered to customers are increasingly more complex and sophisticated. Accordingly, it requires a challenge for both portfolio and risk management skills. Considering market risk peculiarity within the frame of energy market as well as lack of energy derivatives market - including options contracts, position's hedging becomes very difficult. Hedging efficiency determines risk exposure and furthermore risk capital demand. Dynamic hedging approach described in this paper has been focused especially on short position in call option, written as a compliment - additional value for customer. The main purpose of presented approach is to provide stable enough financial performance and adequate risk's yield premium.
- Źródło:
-
Studia Ekonomiczne; 2013, 155; 495-508
2083-8611 - Pojawia się w:
- Studia Ekonomiczne
- Dostawca treści:
- Biblioteka Nauki
Artykuł