TY - GEN
A1 - Dziawgo, Ewa
PB - Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
N2 - The iron condor strategy is a complex option strategy that combines two option spread strategies. The design of this strategy makes it possible to make profits from underlying instruments whose prices are in horizontal trends over a certain period. The research objective of the article is to analyse the risk resulting from the iron condor strategy. The article presents the structure of the strategy, the pricing model, the impact of the price of the underlying instrument on the value of the strategy and on the value of the delta, gamma, vega, and theta ratios. These ratios are measures of the risk of option contracts. The empirical illustration contained in the article is based on the simulation of the valuation of currency options issued in EUR/PLN
L1 - http://dbc.wroc.pl/Content/75897/Dziawgo_The_iron_condor_strategy_in_financial_risk_management.pdf
CY - Wrocław
L2 - http://dbc.wroc.pl/Content/75897
KW - financial instruments
KW - option
KW - option strategy
KW - measures of the risk of option
KW - instrumenty finansowe
KW - opcje
KW - strategie opcyjne
KW - miary ryzyka opcji
T1 - The iron condor strategy in financial risk management
UR - http://dbc.wroc.pl/dlibra/publication/edition/75897
T2 - Strategia iron condor w zarządzaniu ryzykiem finansowym
ER -