The paper is on toxic foreign exchange options problem which occurred in Poland just prior to and after the outbreak of the recent crisis. Especially Polish enterprises were severely stricken by transactions on fx and...The paper is on toxic foreign exchange options problem which occurred in Poland just prior to and after the outbreak of the recent crisis. Especially Polish enterprises were severely stricken by transactions on fx and interest rate derivatives contracted with their banks. Poland was the only EU country which did not precipitate into recession during the financial crisis beginning in 2008. However, the toxic fx and interest rate derivatives transmitted the shockwaves from global financial markets into Poland. Huge dimensions of losses resulted in conflicts between banks and their customers, who claimed just being cheated by the financial institutions. The article deeply researches into reasons for such developments on Polish fx over-the-counter derivatives market. As a case study, an authentic strategy has been presented. The contract was concluded between the construction company and one of the biggest commercial banks in Poland. Because the case study may be representative for many other cases, the analysis includes exact pricing of option strategy and therefore reveals inequality of the contract. The consequences of non-implementing the MiFID directive in the context of derivatives offering to non-financial customers were also touched in the paper.展开更多
The problem of general exchange option pricing on jump-diffusion model is presented, we use the methods of the change of numeraire and martingale measure, and get the analytic solution of above option.
文摘The paper is on toxic foreign exchange options problem which occurred in Poland just prior to and after the outbreak of the recent crisis. Especially Polish enterprises were severely stricken by transactions on fx and interest rate derivatives contracted with their banks. Poland was the only EU country which did not precipitate into recession during the financial crisis beginning in 2008. However, the toxic fx and interest rate derivatives transmitted the shockwaves from global financial markets into Poland. Huge dimensions of losses resulted in conflicts between banks and their customers, who claimed just being cheated by the financial institutions. The article deeply researches into reasons for such developments on Polish fx over-the-counter derivatives market. As a case study, an authentic strategy has been presented. The contract was concluded between the construction company and one of the biggest commercial banks in Poland. Because the case study may be representative for many other cases, the analysis includes exact pricing of option strategy and therefore reveals inequality of the contract. The consequences of non-implementing the MiFID directive in the context of derivatives offering to non-financial customers were also touched in the paper.
文摘The problem of general exchange option pricing on jump-diffusion model is presented, we use the methods of the change of numeraire and martingale measure, and get the analytic solution of above option.
