Konstrukcja i wycena opcji na towarowy kontrakt futures w warunkach polskiego rynku

Since 1970s the importance of financial derivatives, designed to help manage risk, has grown significantly. These instruments are forwards, futures, swaps and options. However, many models and methods created for the needs of financial engine ring may be successfully employed on commodity markets. In the paper, there are described commodity futures and options available on world and Polish commodity exchanges. There are also presented futures options pricing methods, e.g. the Black model used for European options pricing and the Cox-Ross-Rubinstein method employed for European and American options evaluation. Then, an option on futures on consumption wheat is created. To this aim, data from the Poznań Exchange, where commodity future contracts are traded, has been used. The proposed option is priced by the use of an computer program The Black-Scholes An Beyond Interactive Toolkit which gives a possibility of employing both described methods.