Implied volatility modelling of options
| Thesis title in Czech: | Modelování implikované volatility opcí |
|---|---|
| Thesis title in English: | Implied volatility modelling of options |
| Key words: | implikovaná volatilita, local estimation, opce, state price density |
| English key words: | implied volatility, local estimation, options, state price density |
| Academic year of topic announcement: | 2014/2015 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | angličtina |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. RNDr. Ing. Miloš Kopa, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 03.10.2014 |
| Date of assignment: | 03.10.2014 |
| Confirmed by Study dept. on: | 25.11.2014 |
| Date and time of defence: | 08.09.2016 00:00 |
| Date of electronic submission: | 28.07.2016 |
| Date of submission of printed version: | 28.07.2016 |
| Date of proceeded defence: | 08.09.2016 |
| Opponents: | RNDr. Radek Hendrych, Ph.D. |
| Guidelines |
| Student se seznámí se základními postupy při oceňování opcí. Zaměří se na modelování implikované volatility u evropských opcích. S využitím statistických metod ukáže výhody a nevýhody jednotlivých přístupů na reálných datech. |
| References |
| 1, Benko, M., Fengler, M. R., Härdle, W. and Kopa, M. (2007): On extracting information implied in options, Computational Statistics, 22 (4), 543–553.
2, Fengler, M. R. (2012): Option Data and Modeling BSM Implied Volatility, Handbook of Computational Finance, Springer Handbooks of Computational Statistics, Part 2, 117-142. 3, Homescu, C. (2012): Implied Volatility Surface: Construction Methodologies and Characteristics. Available at SSRN: http://ssrn.com/abstract=1882567. 4, Hull, J. C.: Options, Futures and Other Derivatives. 9th edition, 2014. |