Název:
Oceňování opcí: diskrétní případ
Překlad názvu:
Options Valuation: The Discrete case
Autoři:
Šiklová, Renata ; Zahradník, Petr (vedoucí práce) ; Dostál, Petr (oponent) Typ dokumentu: Bakalářské práce
Rok:
2011
Jazyk:
cze
Abstrakt: In this work we will get familiarized with a discrete valuation of options. A power- ful and widely applicable numerical method known as the binomial model will be established. Starting with a basic economic idea of non-arbitrage principle we build a risk-neutral world and develop the binomial model for call options. The general binomial model is extended into a trinomial model and there are several parame- terizations that are actually used in practice, provided for both of them. Great emphasis is also focused on a theoretical background. The theoretical knowledge, that will be introduced here in the discrete world, one can regard as basis for con- tinues models. The consequences of probability theory and risk-neutral valuation appear in the valuation of American options. There are three ultimate goals of this work: construction of the model itself, its implementation and an overview of the theoretical background. 1
Klíčová slova:
binomické modely; martingaly; opce; rizikově neutrální oceňování; binomial models; martingale; options; risk-neutral valuation