Analysis of the influence of the time to maturity on the risk of the corridor call options

Ewa Dziawgo

Abstract


Corridor option belongs to the class of innovative financial instruments. The article presents the issues connected with corridor call options: characteristics of instruments, the pay-off function, the pricing model, the influence of the time to maturity and the price of the underlying instrument on the delta, gamma, vega, theta and rho coefficients. The aim of the paper is to present the analysis of the influence of the time to maturity on the risk of corridor call options. The empirical illustration included in the article is concerned with the pricing simulations of the currency corridor options on EUR/PLN.

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DOI: http://dx.doi.org/10.17951/h.2014.48.3.67
Date of publication: 2015-05-23 19:36:25
Date of submission: 2015-04-16 17:37:37


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