Vzťah Speed certifikátov a inverznej Vertical Ratio Call Back Spread ...


Finance

Vzťah Speed certifikátov a inverznej Vertical Ratio Call Back Spread ...

Jméno a příjmení autora:

Michal Šoltés

Rok:
2010
Číslo:
2
Strany:
119 - 124
Klíčová slova:
option strategy, investment certificate, profit function, financial derivatives
DOI (& full text):
Anotace:
Financial derivatives were introduced in 1981 when the European Option Exchange in Amsterdam was introduced. Despite some opinions that say that financial derivatives cause deformations in prices at…více
Financial derivatives were introduced in 1981 when the European Option Exchange in Amsterdam was introduced. Despite some opinions that say that financial derivatives cause deformations in prices at financial markets, volume of sales of financial derivatives are annually rising. Financial derivatives brought with themselves large opportunities for position creating. They can be used not only for trading, but for hedging and arbitrage as well. Nowadays, financial derivatives, namely options, are used to provide new banking products of treasury management. Yields of treasury instruments are in certain way derived from the yields gained from other regular financial instruments on financial market. Banks use option strategies to create financial positions that are divided into smaller parts and, consecutively, sold to clients of banks as new products. Especially, option strategies are used to emit investments certificates. Situation on financial markets forces banks to create new products that bring higher potential profits at lower level of risk. The investments certificates are one of favourite instruments used. The paper deals with option strategy and its usage in creating the treasury products in banks. We focus on Inverse Vertical Ratio Call Back Spread strategy as the one, which can be used for specific investment certificates creation. The aim of the paper is to find the way of creation of Speed certificates, so called Sprint certificates, Double Chance certificates or Double-up certificates. We analyze this type of certificates, derive the profit function in analytical form and we propose the way of its creation through Inverse Vertical Ratio Call Back Spread option strategy.
Sekce:
Finance

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