Oceňování opcí
| Thesis title in Czech: | Oceňování opcí |
|---|---|
| Thesis title in English: | Option Pricing |
| Key words: | oceňování opcí, binomický model, multinomický model, odhad parametrů |
| English key words: | option pricing, binomial model, multinomial model, parameters estimate |
| Academic year of topic announcement: | 2008/2009 |
| Thesis type: | diploma thesis |
| Thesis language: | čeština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. RNDr. Jan Hurt, CSc. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 01.12.2008 |
| Date of assignment: | 01.12.2008 |
| Date and time of defence: | 01.06.2011 00:00 |
| Date of electronic submission: | 12.04.2011 |
| Date of submission of printed version: | 15.04.2011 |
| Date of proceeded defence: | 01.06.2011 |
| Opponents: | prof. RNDr. Tomáš Cipra, DrSc. |
| Guidelines |
| Diplomant se bude zabývat problematikou oceňování opcí. Pojedná o binomickém a Black-Scholesově modelu a provede komparaci jimi dosažených výsledků na reálných či nasimulovaných datech. Zaměří se též na oceňování opcí se stochastickou volatilitou. |
| References |
| [1] Dupačová, J., Hurt, J., Štěpán, J.: Stochastic Modeling in Economics and Finance. Kluwer Academic Publishers. Dordrecht 2002.
[2] Hull, J.C.: Options, Futures, and other Derivative Securities. 6th ed., Pearson Prentice Hall. Upper Saddle River 2006. [3] Carmona, R. A., Rozovskii, B.: Stochastic Partial Differential Equations:Six Perspectives. American Mathematical Society. Providence 1999. [4] Beichelt, F.: Stochastic Processes in Science, Engineering and Finance. Chapmann&Hall/CRC. Boca Raton 2006. [5] Rolski, T.: Stochastic Processes for Insurance and Finance. Willey. Chichester 2001. [6] Shreve, S.: Stochastic Calculus for Finance. Springer-Verlag. New York 2004. |
| Preliminary scope of work |
| oceňování opcí |
| Preliminary scope of work in English |
| option pricing |