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National Repository of Grey Literature 12 records found  previous11 - 12  jump to record: Search took 0.01 seconds. 
Ocenění a zajíštění měnových bariérových opcí
 Mertlík, Jakub ; Radová, Jarmila (advisor) ; Kodera, Jan (referee) ; Scevenels, Dirk (referee)
The main aim of this thesis is in analyzing and empirically testing the various valuation models and hedging schemes of foreign exchange barrier options and their robustness with respect to changing of market conditions. The purpose of the main empirical section is to get a detailed understanding of the static and dynamic performance of the analyzed models for the barrier options payoff mainly in the extreme market conditions, where we performed a benchmarking of the various hedging schemes. As a by-product, we analyzed the accomplishment of some of the model assumptions in real world setting, and the model dependency of the barrier options.
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Option pricing with stochastic volatility
 Bartoň, Ľuboš ; Málek, Jiří (advisor) ; Witzany, Jiří (referee)
This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the Black-Scholes model is derived and then its biases are discussed. We explain shortly the concept of volatility. Further, we introduce three pricing models with stochastic volatility- Hull-White model, Heston model and Stein-Stein model. At the end, these models are reviewed.
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National Repository of Grey Literature : 12 records found   previous11 - 12  jump to record:
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