THE ANALYSIS OF OPTION STRATEGIES ON THE RUSSIAN MARKET
Section: MATHEMATICS IN ECONOMICS
Proceedings: MATHEMATICS IN ECONOMICS
Authors:
1.
Russian Customs Academy Rostov branch
(Department of Informatics and Information Customs Technologies, Head of the department)
from 01.09.2001 until now Rostov-na-Donu, Rostov-on-Don, Russian Federation
from 01.09.2001 until now Rostov-na-Donu, Rostov-on-Don, Russian Federation
2.
Rostov branch of the Russian customs Academy
(Department of Informatics and Information Customs Technologies, Student)
from 01.01.2019 until now Rostov-na-Donu, Rostov-on-Don, Russian Federation
from 01.01.2019 until now Rostov-na-Donu, Rostov-on-Don, Russian Federation
Type:
Сonference article
Published:
23.12.2020
Subject area:
VAC 08.00.00 Экономика
UDK 33 Экономика. Экономические науки
GRNTI 83.29 Экономическая статистика
OKSO 01.04.01 Математика
BBK 6523 Планирование. Экономическое прогнозирование
BISAC BUS000000 General
UDK 33 Экономика. Экономические науки
GRNTI 83.29 Экономическая статистика
OKSO 01.04.01 Математика
BBK 6523 Планирование. Экономическое прогнозирование
BISAC BUS000000 General
Language:
Russian
Keywords:
option, option strategies, option market, forward market, RTS index
Abstract (English):
The article analyzes the “buy call option” strategy using the example of a futures contract on the RTS Index with expiration in December 2020. As part of the study, using the Black-Scholes option pricing model, statistical calculations required for estimating the model's parameters. Using imitation modeling and statistical analysis, the strategy's effectiveness was estimated. When implementing the strategy "buy a call option" 19 out of 50 conducted simulations have at least one day with a profit, which is 38% of the total number of sample trajectories of the futures prices.
The article analyzes the “buy call option” strategy using the example of a futures contract on the RTS Index with expiration in December 2020. As part of the study, using the Black-Scholes option pricing model, statistical calculations required for estimating the model's parameters. Using imitation modeling and statistical analysis, the strategy's effectiveness was estimated. When implementing the strategy "buy a call option" 19 out of 50 conducted simulations have at least one day with a profit, which is 38% of the total number of sample trajectories of the futures prices.
Keywords:
option, option strategies, option market, forward market, RTS index
option, option strategies, option market, forward market, RTS index
1. An Introduction to Derivatives. 2nd Edition. M.: Alpina Publisher, 2009. 201 p.
2. Moscow exchange [E-resource] URL: https://www.moex.com
3. Fischer Black, Myron Scholes. The Pricing of Options and Corporate Liabilities // The Journal of Political Economy. 1973. vol. 81, № 3.Pp. 637-654.
4. John C. Hull Options, Futures, and Other Derivatives. 6th Edition. M.: Williams, 2008. 1044 p.
5. Pokutny V. I. Assessment of the value of options. Comparative analysis of the Black-Scholes model and the Monte Carlo method // Scientific notes of young researchers. 2014. №3. URL: https://cyberleninka.ru/article/n/otsenka-stoimosti-optsionov-sravnitelnyy-analiz-modeli-bleka-shoulza-i-metoda-monte-karlo (Accessed 15.11.2020)
