Original title: Implied Volatility and Smile
Authors: Rojček, Jakub ; Pígl, Jan (advisor)
Document type: Bachelor's theses
Year: 2008
Language: eng
Publisher: Vysoká škola ekonomická v Praze
Abstract: 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.
Keywords: Black-Scholes formula; imlplied volatility smile; implied volatility; implied volatility surface

Institution: University of Economics, Prague (web)
Document availability information: Available in the digital repository of the University of Economics, Prague.
Original record: http://www.vse.cz/vskp/eid/5049

Permalink: http://www.nusl.cz/ntk/nusl-2797


The record appears in these collections:
Universities and colleges > Public universities > University of Economics, Prague
Academic theses (ETDs) > Bachelor's theses