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Porovnání Black-Scholesova modelu s Hestonovým modelem / A comparison of the Black-Scholes model with the Heston model

The thesis focuses on methods of option prices calculations using two different pricing models which are Heston and Black-Scholes models. The first part describes theory of these two models and conlcudes with a comparison of the risk-neutral measures of these two models. In the second part, the relations between input parameters and the option price generated by these models are clarified. This part ends up with an analysis of the market data and it answers the question which model predicts better.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:206893
Date January 2015
CreatorsObhlídal, Jiří
ContributorsMálek, Jiří, Fičura, Milan
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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