This work describes stochastic volatility models and application of such models for option pricing. Models for underlying asset and then pricing models for options with stochastic volatility are derived. Black-Scholes and Heston-Nandi models are compared in empirical part of this work.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:150113 |
| Date | January 2012 |
| Creators | Šigut, Jiří |
| 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 |
Page generated in 0.0012 seconds