Valuation of options with stochastic volatility
| Thesis title: | Oceňování opcí se stochastickou volatilitou |
|---|---|
| Author: | Duben, Josef |
| Thesis type: | Diplomová práce |
| Supervisor: | Málek, Jiří |
| Opponents: | Hudec, Patrik |
| Thesis language: | Česky |
| Abstract: | Práce se zabývá opcemi a jejich oceňováním. Je zde popsána problematika Black-Scholes modelu a důvodů, které vedly k rozvoji modelů se stochastickou volatilitou. Podrobně jsou popsány SABR model a Heston model. Tyto modely jsou dále aplikovány na akciové opce v období zvýšené volatility. Následně jsou modely po teoretické stránce zhodnoceny a vyhodnoceny výsledky praktické aplikace. |
| Keywords: | oceňování; volatilita; stochastická; SABR; Heston; opce |
| Thesis title: | Valuation of options with stochastic volatility |
|---|---|
| Author: | Duben, Josef |
| Thesis type: | Diploma thesis |
| Supervisor: | Málek, Jiří |
| Opponents: | Hudec, Patrik |
| Thesis language: | Česky |
| Abstract: | The thesis is dealing with option pricing. The basic Black-Scholes model is described, along with the reasons that led to the development of stochastic volatility models. SABR model and Heston model are described in detail. These models are then applied to equity options in the times of high volatility. The models and their application are then evaluated. |
| Keywords: | valuation; Heston; SABR; volatility; stochastic; options |
Information about study
| Study programme: | Finance a účetnictví/Finance |
|---|---|
| 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: | 21. 2. 2011 |
|---|---|
| Date of submission: | 1. 9. 2011 |
| Date of defense: | 14. 9. 2011 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/30538/podrobnosti |