Oceňování opcí se stochastickou volatilitou

Autor:	Khmelevskiy, Vadim
Jazyk:	čeština
Rok vydání:	2016
Předmět:	Hestonův model Option Heston-Nandi GARCH model Monte Carlo simulation Monte Carlo simulace Stochastická volatilita Heston model Opce Stochastic volatility
Druh dokumentu:	masterThesis
Popis:	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.
Databáze:	Networked Digital Library of Theses & Dissertations
Externí odkaz:	http://www.nusl.cz/ntk/nusl-264147 Zobrazit plný text záznamu