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.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:18707 |
| Date | January 2010 |
| Creators | Moravec, Radek |
| Contributors | Málek, Jiří, Paholok, Igor |
| 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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