Option pricing with stochastic volatility
Thesis title: | Oceňovanie opcií so stochastickou volatilitou |
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Author: | Bartoň, Ľuboš |
Thesis type: | Diploma thesis |
Supervisor: | Málek, Jiří |
Opponents: | Witzany, Jiří |
Thesis language: | Slovensky |
Abstract: | Táto diplomová práca sa venuje problematike oceňovania opcií so stochastickou volatilitou. Najskôr je odvodený Black-Scholes model a potom sú diskutované jeho nedostatky. Krátko vysvetlujeme tiež pojem volatilita. Ďalej uvádzame tri oceňovacie modely so stochastickou volatilitou- Hull-White model, Heston model a Stein-Stein model. Na konci sú modely zhodnotené. |
Keywords: | Black-Scholes model; Stochastická volatilita; Oceňovanie opcií |
Thesis title: | Oceňování opcí se stochastickou volatilitou |
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Author: | Bartoň, Ľuboš |
Thesis type: | Diplomová práce |
Supervisor: | Málek, Jiří |
Opponents: | Witzany, Jiří |
Thesis language: | Slovensky |
Abstract: | Tato diplomová práce se věnuje problematice oceňování opcí se stochastickou volatilitou. Nejdříve je odvozen Black-Scholes model a pak jsou diskutovány jeho nedostatky. Krátce vysvětlujeme taky pojem volatilita. Dále uvádíme tři oceňovací modely se stochastickou volatilitou- Hull-White model, Heston model a Stein-Stein model. Na konci jsou modely zhodnoceny. |
Keywords: | Stochastická volatilita; Black-Scholes model; Oceňování opcí |
Thesis title: | Option pricing with stochastic volatility |
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Author: | Bartoň, Ľuboš |
Thesis type: | Diploma thesis |
Supervisor: | Málek, Jiří |
Opponents: | Witzany, Jiří |
Thesis language: | Slovensky |
Abstract: | This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the Black-Scholes model is derived and then its biases are discussed. We explain shortly the concept of volatility. Further, we introduce three pricing models with stochastic volatility- Hull-White model, Heston model and Stein-Stein model. At the end, these models are reviewed. |
Keywords: | Black-Scholes model; Option pricing; Stochastic volatility |
Information about study
Study programme: | Finance a účetnictví/Bankovnictví a pojišťovnictví |
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Type of study programme: | Magisterský studijní program |
Assigned degree: | Ing. |
Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
Faculty: | Faculty of Finance and Accounting |
Department: | Department of Banking and Insurance |
Information on submission and defense
Date of assignment: | 2. 8. 2010 |
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Date of submission: | 10. 9. 2010 |
Date of defense: | 3. 2. 2011 |
Identifier in the InSIS system: | https://insis.vse.cz/zp/27195/podrobnosti |