Original title: Itôův a Stratonovičův stochastický integrál
Translated title: Itôův a Stratonovičův stochastický integrál
Authors: Voldán, Adam ; Hlubinka, Daniel (advisor) ; Dostál, Luboš (referee)
Document type: Master’s theses
Year: 2009
Language: eng
Abstract: In this thesis the Ito stochastic integral and the Stratonovich stochastic integrals are studied. Their basic and some special properties are shown. Further the theory of the numerical solution of stochastic differential equations (SDE) is introduced. Using simple examples the properties of chosen numerical schemes are presented. Finally the Black-Scholes-Merton formula for pricing of European call option is sketched, and similar problems are numerically solved using the above presented algorithms.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/18947

Permalink: http://www.nusl.cz/ntk/nusl-459666


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses