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Oceňovanie opcií so stochastickou volatilitou / Option pricing with stochastic volatility

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.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:77823
Date January 2010
CreatorsBartoň, Ľuboš
ContributorsMálek, Jiří, Witzany, Jiří
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageSlovak
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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