Original title: Oceňování opcí: diskrétní případ
Translated title: Options Valuation: The Discrete case
Authors: Šiklová, Renata ; Zahradník, Petr (advisor) ; Dostál, Petr (referee)
Document type: Bachelor's theses
Year: 2011
Language: cze
Abstract: 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
Keywords: binomial models; martingale; options; risk-neutral valuation; binomické modely; martingaly; opce; rizikově neutrální oceňování

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/50160

Permalink: http://www.nusl.cz/ntk/nusl-501429


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses