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.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:72010 |
| Date | January 2011 |
| Creators | Duben, Josef |
| Contributors | Málek, Jiří, Hudec, Patrik |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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