This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the Black-Scholes model is derived and then its biases are discussed. We explain shortly the concept of volatility. Further, we introduce three pricing models with stochastic volatility- Hull-White model, Heston model and Stein-Stein model. At the end, these models are reviewed.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:77823 |
| Date | January 2010 |
| Creators | Bartoň, Ľuboš |
| Contributors | Málek, Jiří, Witzany, Jiří |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Slovak |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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