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Cena volatility finančních proměnných / Price of Volatility of Financials Assets

This diploma thesis describes problem of change-points in volatility of the time-series and their impact on price of nancial assets. Those change-points are estimated by using statistical methods and tests. Change-point estimation was tested on simulated datas and real world driven datas. Simulation helped to discover signi cant characteristics of change-point test, those data were simulated with using stochastic calculus. Google share prices and prices of call options were chosen to analyse impact of volatility change on those prices. Also implied volatility and its impact to call option price was analysed.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:113803
Date January 2011
CreatorsGříšek, Lukáš
ContributorsČerný, Michal, Chrobok, Viktor
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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