Option pricing under stochastic volatility
| Thesis title: | Oceňování opcí se stochastickou volatilitou |
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| Author: | Khmelevskiy, Vadim |
| Thesis type: | Diplomová práce |
| Supervisor: | Fičura, Milan |
| Opponents: | Janda, Karel |
| Thesis language: | Česky |
| Abstract: | Diplomová práce je zaměřena na problematiku oceňování opcí za předpokladu stochastické volatility. V teoretické části práce jsou popsány nezbytné pojmy pro pochopení problematiky oceňování opcí a rozebrány jednotlivé modely pro oceňování opci jak v přítomnosti stochastické volatility, tak i za předpokladu, že volatilita je konstantní. V práktické časti je provedena aplikace popsaných modelů. Jednotlivé modely jsou pak porovnány s reálnými daty. |
| Keywords: | Opce; Monte Carlo simulace; Stochastická volatilita; Hestonův model; Heston-Nandi GARCH model |
| Thesis title: | Option pricing under stochastic volatility |
|---|---|
| Author: | Khmelevskiy, Vadim |
| Thesis type: | Diploma thesis |
| Supervisor: | Fičura, Milan |
| Opponents: | Janda, Karel |
| Thesis language: | Česky |
| Abstract: | This master's thesis focuses on the problem area of option pricing under stochastic volatility. The theoretical part includes terms that are essential for understanding the problem area of option pricing and explains particular models for both option pricing under stochastic volatility and those under constant volatility. The application of described models is performed in the practical part of the thesis. After that particular models are compared to the real data. |
| Keywords: | Option; Stochastic volatility; Heston model; Heston-Nandi GARCH model; Monte Carlo simulation |
Information about study
| Study programme: | Finance a účetnictví/Finanční inženýrství |
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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: | 15. 2. 2016 |
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| Date of submission: | 15. 8. 2016 |
| Date of defense: | 13. 9. 2016 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/56988/podrobnosti |