A comparison of the Black-Scholes model with the Heston model

Autor:	Obhlídal, Jiří
Přispěvatelé:	Málek, Jiří, Fičura, Milan
Jazyk:	čeština
Rok vydání:	2015
Předmět:	Hestonův model Black-Scholesův model risk-neutral measure opce Black-Scholes model Heston model options riziková neutralita
Popis:	The thesis focuses on methods of option prices calculations using two different pricing models which are Heston and Black-Scholes models. The first part describes theory of these two models and conlcudes with a comparison of the risk-neutral measures of these two models. In the second part, the relations between input parameters and the option price generated by these models are clarified. This part ends up with an analysis of the market data and it answers the question which model predicts better.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od______2186::958881b1bab7db2d1322f555e377fd4e http://www.nusl.cz/ntk/nusl-206893 Zobrazit plný text záznamu