Název:
Implied Volatility and Smile
Autoři:
Rojček, Jakub ; Pígl, Jan (vedoucí práce) Typ dokumentu: Bakalářské práce
Rok:
2008
Jazyk:
eng
Nakladatel: Vysoká škola ekonomická v Praze
Abstrakt: In this work author speaks a little in generic about financial derivatives. Then he derives the famous Black-Scholes formula using less precise mathematical apparatus. Afterwards, he will analyze a few volatility models and their applications for creating volatility surface, which is the main goal of both theoreticians and practitioners. As we will see, the theory is yet very deep but unconsolidated. Nevertheless, praxis has gained some nearly sufficient approaches.
Klíčová slova:
Black-Scholes formula; imlplied volatility smile; implied volatility; implied volatility surface
Instituce: Vysoká škola ekonomická v Praze
(web)
Informace o dostupnosti dokumentu:
Dostupné v digitálním repozitáři VŠE. Původní záznam: http://www.vse.cz/vskp/eid/5049