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Oceňování opcí a variance gama proces / Option Pricing and Variance Gamma Process

The submitted work deals with option pricing. Mathematical approach is immediately followed by an economic interpretation. The main problem is to model the underlying uncertainities driving the stock price. Using two well-known valuation models, binomial model and Black-Scholes model, we explain basic principles, especially risk neutral pricing. Due to the empirical biases new models have been developped, based on pure jump process. Variance gamma process and its special symmetric case are presented.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:18707
Date January 2010
CreatorsMoravec, Radek
ContributorsMálek, Jiří, Paholok, Igor
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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