Black-Scholes model and greek parameters in trading options on Warsaw Stock Exchange
Abstrakt
The aim of this paper is to verify whether the basic theories behind options, such as Black
Sholes valuation model and the Greek parameters hold true for the options market on the
Warsaw Stock Exchange1. Since those theories provide traders with fundamental tools that
are used in options trading, the results of the study will indicate whether they can be
successfully employed on trading floor of the Warsaw Stock Exchange.
The work was divided into 3 parts that contain the general theory, data collection process
and the empirical research.
Consequently, the first chapter covers the theoretical introduction of the concept of options
that are later illustrated using the options market on the Warsaw Stock Exchange. It also
contains the description of Black - Scholes model and the Greek parameters together with all
appropriate formulas that were used in the calculations.
In the second chapter of the paper the process of data collection is described. For the sake
of the research, the real market data were collected and later processed using the
developed Microsoft Excel’s Visual Basic for Applications module.
Finally in Chapter 3, the results of a series of short tests, performed with the use of data and
tools mentioned in Chapter 2, seek to provide evidence that the theories outlined in Chapter
1 hold true for the options market on the Warsaw Stock Exchange.
The work is based on the different literature and internet resources. All of the examples and
graphs were constructed exclusively for the sake of the paper and reflect generally accepted
theoretical principles.
Opis
Słowa kluczowe
Black-Schols model, greek parameters, options, trading, Warsaw Stock Exchange