Implied Volatility and Smile
| Thesis title: | Implied Volatility and Smile |
|---|---|
| Author: | Rojček, Jakub |
| Thesis type: | Bachelor thesis |
| Supervisor: | Pígl, Jan |
| Opponents: | - |
| Thesis language: | English |
| Abstract: | In this work author speaks a little in generic about financial derivatives. Then he derives the famous Black-Scholes formula using less precise mathematical apparatus. Afterwards, he will analyze a few volatility models and their applications for creating volatility surface, which is the main goal of both theoreticians and practitioners. As we will see, the theory is yet very deep but unconsolidated. Nevertheless, praxis has gained some nearly sufficient approaches. |
| Keywords: | Black-Scholes formula; implied volatility surface; imlplied volatility smile; implied volatility |
| Thesis title: | Implikovaná Volatilita a Úsměv |
|---|---|
| Author: | Rojček, Jakub |
| Thesis type: | Bakalářská práce |
| Supervisor: | Pígl, Jan |
| Opponents: | - |
| Thesis language: | English |
| Abstract: | |
| Keywords: |
| Thesis title: | Implikovaná Volatilita a Úsměv |
|---|---|
| Author: | Rojček, Jakub |
| Thesis type: | Bachelor thesis |
| Supervisor: | Pígl, Jan |
| Opponents: | - |
| Thesis language: | English |
| Abstract: | |
| Keywords: |
Information about study
| Study programme: | Hospodářská politika a správa/Finance |
|---|---|
| Type of study programme: | Bakalářský studijní program |
| Assigned degree: | Bc. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Finance and Accounting |
| Department: | Department of Monetary Theory and Policy |
Information on submission and defense
| Date of assignment: | 4. 1. 2008 |
|---|---|
| Date of submission: | 4. 1. 2008 |
| Date of defense: | 24. 1. 2008 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/7699/podrobnosti |