An analysis of profitability of commodity-linked structured time deposits offered in Poland

Authors

  • Krawiec Monika Warsaw University of Life Sciences

Keywords:

commodity markets, structured time deposits, options

Abstract

Recent years have whitnessed increased investors' interest in commodity markets also in Poland. Investment in commodities is possible through various vehicles: purchase of a physical commodity or a commodity-related stock, forward and futures contracts, options, swaps, exchange traded funds, and commodity-linked time deposits. As in 2012 in Poland, several banks offered such deposits, the paper aims at evaluating their profitability from an investor's perspective. As those instruments use some elements typical for options, there were created and studied some options (barrier, Asian, basket, standard) constituting alternatives for the deposits. From the set of analyzed time deposits, only those linked to oil prices appeared to be profitable in the considered period. However, the highest profit would be produced by the combination of barrier options on crude oil.

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Author Biography

Krawiec Monika, Warsaw University of Life Sciences

Department of Econometrics and Statistics

Published

2014-02-21

How to Cite

Monika, K. (2014). An analysis of profitability of commodity-linked structured time deposits offered in Poland. Acta Universitatis Lodziensis. Folia Oeconomica, 2(301). Retrieved from https://czasopisma.uni.lodz.pl/foe/article/view/151

Issue

Section

Finance

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