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Option strategies
Čech, Petr ; Witzany, Jiří (advisor) ; Witzany, Jiří (referee)
This bachelor thesis focuses on the analysis of option strategies with emphasis on practical aspect of the matter. At the beginning, there is brief introduction to theoretical basis of options, which is required for the advanced topics in this work. The following chapters concentrate mainly on the stock options, but the explained concepts can be used for options with another underlying asset as well. In the second chapter, various option strategies are discussed there. To a number of them, there is stated example from the real market situation. The next part accents the importance of implied volatility on option strategies. The last part briefly summarizes utilization of option strategies in diverse market situations.
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Derivatives suitable for commodtiy risk hedging
Klepetko, Petr ; Scholleová, Hana (advisor) ; Štýbr, David (referee)
This thesis is concerning the problematic of derivatives which can be applicable for commodity risk hedging. The futures contracts and options are utilized for hedging commodity risk on oil market. For purposes of this work is designed a trading strategy, which consists of exponential moving average and expiration cycle of the options. The strategy is tested on historical oil prices. Because the strategy shows promising outputs it was employed on setting options strategy as well. The hedging options strategy collar is tested on historical prices of oil. Testing on historical prices discovered that it is profitable for processor to hedge the oil price by futures contracts. For producer it is more profitable to hedge the price by employing standard collar strategy. On the other side the bear collar strategy generated quite unconvincing outputs for processor. When the out-the-money bear collar war modified into in-the-money bear collar the outputs were satisfactorily profitable.
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Hedging with financial derivatives in international business
Rohrbacher, Jan ; Taušer, Josef (advisor) ; Mergl, Tomáš (referee)
This diploma thesis deals with hedging with financial derivatives in international business. It is divided into two main parts. The first - theoretical part describes the general definition of the term "derivative" as well as brief history of derivatives. The next part determines derivatives from three key aspects - economic, legal and accounting. The following part deals with statistical methods and the current situation on the derivative markets. The following chapter analyzes the main types of derivatives - forwards, futures, swaps and options as well as examples of their usage. The second part of this work examines the hedging process within the company Med Povrly. Due to its involvement in the international trade with copper, the company is exposed to commodity and exchange-rate risks.
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The use of options in international trade
Telgárska, Lýdia ; Taušer, Josef (advisor) ; Plchová, Božena (referee)
Different kinds of options and the possibilities of their use in international environment is the subject of this final thesis. At the beginning of thesis, history of options, their classification according to different kinds, and situation on the stock exchange market and OTC market are discussed. In the next part, the thesis speaks about the main option positions, more complicated option positions, warrants and interest rate option. Every single option is characterized in more detailed way along with the different examples of their use for financial risk management in the international trade or their use for more and more evolving speculation on the financial markets.
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Exotic Options (Digitals and Barriers)
Fečko, Michal ; Málek, Jiří (advisor) ; Witzany, Jiří (referee)
Main objective of this diploma thesis is to point out to the advantages related to the applications of Exotic options and show that we have to be aware of complexities which arise in hedging such products. There exists a quantity of different Exotic options products so the first chapter is dedicated to its basic classification, although not all instruments were included, as some are very specific. According to the application of options, we took out the most used Exotic options. The number one in the Exotic options world, are the Barrier options, followed by Digital options
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Currency options
Tomovič, Tomáš ; Málek, Jiří (advisor) ; Witzany, Jiří (referee)
Subject of the submitted thesis is the issue of currency options. The aim is the detailed analysis of currency options forcefully on dealing, characteristics, methods of pricing and their use for hedging strategies. The first part of the thesis presents an introduction into the option theory. The second part is about dealing, pricing and arbitrage relationships of currency options. In this part are two option pricing model extracted -- the binomial options pricing model for pricing currency options and the Garman-Kohlhagen model for pricing European currency options. In the third part is an example for a currency put option hedging strategy.
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Evaluation of investment project
Shakirov, Vil ; Scholleová, Hana (advisor) ; Špaček, Miroslav (referee)
This diploma work is intended for estimation of value of investment project in the field of special chemical industry. The theoretical part contains brief overview of existing classic evaluating methods and a description of relatively new real options method. The evaluation by itself consists of NPV determination and sensitivity analysis for input parameters. After that, there is an application of real options tool for evaluating of project's flexibility. The possible conclusion of this work is that real options are effective tool to apply in addition to classic methods of investment evaluation.
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LIFE INSURANCE OPTIONS
Černý, Zdeněk ; Cipra, Tomáš (advisor) ; Málek, Jiří (referee)
The goal of the thesis is to present and apply mathematical tools that are necessary for proper understanding of valuation of options in life insurance. This includes basic principles of actuarial calculations based on first order assumptions and the basics of stochastic calculus used for derivatives pricing. Afterthat we discuss the difference between first and second order assumptions and apply the mathematical tools to valuation of life insurance options. Finally the appearance of life insurance options within the liability adequacy test and european law is mentioned.
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Hodnota strategické flexibility
Nedvědová, Lenka ; Scholleová, Hana (advisor) ; Odcházel, Jiří (referee)
Diplomová práce se zabývá vlivem zahrnutí flexibility rozhodování do hodnoty investičních projektů. Popisuje reálně opční metodu hodnocení investic. Práce nejprve shrnuje teoretické poznatky finančních a reálných opcí, poté se zaměřuje na způsoby implementace metody reálných opcí do firemního rozhodování. Aplikační část je zaměřena na vyčíslení hodnoty opce čekání na základě rozdílných hodnot NPV včetně postupu, kterým je mozné určit hodnotu flexibility již v předinvestiční fázi.
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