Finanšu derivatīvu instrumentu vērtēšana 2008. un 2012. gada finanšu krīzē
Loading...
Date
Authors
Advisor
Journal Title
Journal ISSN
Volume Title
Publisher
Latvijas Universitāte
Language
lav
Abstract
Mūsdienās pastāvoša problēma finanšu tirgos ir spēja precīzi novērtēt finanšu derivatīvus, ņemot vērā to sarežģīto uzbūvi. Turklāt tieši krīzes periodos, kādi bija 2008.gada trešais ceturksnis un 2010.-2012.gads, šīs prasmes ir īpaši nozīmīgas, lai papildus nepaaugstinātu finanšu risku. Darba mērķis ir izpētīt Forward cenas, Black-Scholes-Merton un Binomiālā opciju novērtēšanas modeļu spēju novērtēt finanšu derivatīvus krīzes periodā un tajā pašā laikā tirgus cenu neatbilstību modeļiem tirgū pastāvošās panikas dēļ. Darbā izvirzītās hipotēzes tiek apstiprinātas; un, pieaugot finanšu derivatīva termiņam, modeļu precizitāte krītas. Darbā tiek sniegti ieteikumi samazināt finanšu derivatīvu tirgus dalībnieku pakļaušanos tirgus cenām krīzes situācijās, kā arī nepārtraukti vērtēt izstrādāto modeļu spēju atbilstoši pielāgoties izmaiņām tirgū.
Nowadays an existing problem in financial markets is the ability to correctly value financial derivatives considering their complexity. Besides especially during periods of crisis like third quarter of 2008 and years 2010-2012, these kind of abilities are very important not to raise the financial exposure. The aim of thesis is to research Forward pricing, Black-Scholes-Merton and Binomial option valuation models’ ability to value financial derivatives during periods of crisis, and in the same time inadequacy of market prices with models due to existing panic in the financial markets. Hypotheses raised in thesis have been confirmed and as time to maturity increases accuracy of models decreases. Recommendations given in thesis are to limit financial derivatives market members’ submission towards market prices during moments of crisis, as well as continuously assess developed models ability to correctly align with changes in the market.
Nowadays an existing problem in financial markets is the ability to correctly value financial derivatives considering their complexity. Besides especially during periods of crisis like third quarter of 2008 and years 2010-2012, these kind of abilities are very important not to raise the financial exposure. The aim of thesis is to research Forward pricing, Black-Scholes-Merton and Binomial option valuation models’ ability to value financial derivatives during periods of crisis, and in the same time inadequacy of market prices with models due to existing panic in the financial markets. Hypotheses raised in thesis have been confirmed and as time to maturity increases accuracy of models decreases. Recommendations given in thesis are to limit financial derivatives market members’ submission towards market prices during moments of crisis, as well as continuously assess developed models ability to correctly align with changes in the market.