91��Ƶ��

The complex exchange option, called ComEx (Compound Exchange Option), gives investors the right to exchange two European call options with different underlying assets.

“There are products on the financial market that allow investors to purchase an option to exchange two underlying products, such as two shares. The innovation of our theoretical research is that these two underlying products should be two options. We developed the pricing model and formula for this financial product,” said Patrícia Becsky-Nagy to hirek.unideb.hu. 

The Head of the Department of Finance emphasized that the exchanged instruments are not stocks, but options, which also provide the possibility of risk filtering. She presented their research using a simple real option example.

“Let us suppose that there are two industrial companies coming to Debrecen that want to settle in one of the industrial parks of our city, but it is not clear which one. As the head of a supplier company – and knowing which company they want to sign a contract with – I acquire an option to purchase through ComEx so that I can settle next to the expected location of the target company, but I also have the option to exchange my right to purchase the land for a purchase right attached to another plot of land. This means that the investor does not really have to purchase the land, but only acquires a purchase right, an option, which can be exchanged for another option,” said Patrícia Becsky-Nagy.

For the next phase of the research, the experts set themselves the objective of market testing and positioning the product.

“We intend to expand our research and use artificial intelligence to model exactly how ComEx could work and in which markets around the world we could open up new avenues by using this product,” added the department head. 

Apart from Patrícia Becsky-Nagy, the authors of the recently published study also include experts from Corvinus University of Budapest: Professor Emeritus János Száz, former Associate Professor Ágnes Vidovics-Dancs, and Kata Váradi, Head of Institute of Finance. The publication can be accessed at the below.

Press Center - ÉE