This master's thesis focuses on the problem area of option pricing under stochastic volatility. The theoretical part includes terms that are essential for understanding the problem area of option pricing and explains particular models for both option pricing under stochastic volatility and those under constant volatility. The application of described models is performed in the practical part of the thesis. After that particular models are compared to the real data.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:264147 |
| Date | January 2016 |
| Creators | Khmelevskiy, Vadim |
| Contributors | Fičura, Milan, Janda, Karel |
| 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 |
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