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Option Pricing
Moravec, Radek ; Hurt, Jan (advisor) ; Cipra, Tomáš (referee)
Title: Option Pricing Author: Radek Moravec Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Jan Hurt, CSc., Department of Probability and Mathematical Statistics In the present thesis we deal with European call option pricing using lattice approaches. We introduce a discrete market model and show a way how to find an arbitrage price of financial instruments on complete markets. It's equal to the discounted value of future expected cash flow. We present the binomial option pricing model and generalize it into multinomial model. We test the resulting formula on real market data obtained from NYSE and NASDAQ. We suggest a parameter estimate method which is based on time series of historical observations of daily close price. We compare calculated option prices with their real market value and try to explain the reasons of the differences. 1
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Option Pricing
Moravec, Radek ; Hurt, Jan (advisor)
Title: Option Pricing Author: Radek Moravec Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Jan Hurt, CSc., Department of Probability and Mathematical Statistics In the present thesis we deal with European call option pricing using lattice approaches. We introduce a discrete market model and show a way how to find an arbitrage price of financial instruments on complete markets. It's equal to the discounted value of future expected cash flow. We present the binomial option pricing model and generalize it into multinomial model. We test the resulting formula on real market data obtained from NYSE and NASDAQ. We suggest a parameter estimate method which is based on time series of historical observations of daily close price. We compare calculated option prices with their real market value and try to explain the reasons of the differences. 1
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Strategic management in the Czech full-contact union and other martiall arts
Moravec, Radek ; Štědroň, Bohumír (advisor) ; Janák, Vladimír (referee)
Title: Strategic management in Czech full-contact union Objectives: The aim of this thesis is to assess the use of strategic activities and to analyze the environment of the selected organization in order to design specific strategic plan and propose recomendations for implementation of this plan as well as implementation of strategic management. Methods: The methods used in this thesis are methods of both qualitative and quantitative research and specifically the methods used are: Observation, Survey, document analysis, SWOT analysis and other partial analysis. Results: The outcome of this thesis is strategic situational analysis of Czech full-contact union and proposed is specific strategic plan for the period 2017 - 2020. Keywords: strategic plan, strategy, kickboxing, SWOT analysis
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Marketing mix of Kosagym kickbox club and its improvement suggestions
Moravec, Radek ; Omcirk, Vilém (advisor) ; Pecinová, Markéta (referee)
Title: Marketing mix of Kosagym kickbox club and its improvement suggestions Objectives: The aim of this thesis is to analyse marketing mix of Kosagym kickbox club and to propose improvement proposals. To analyse the mix, use descriptive and research methods, specifically marketing research of club members, interview and SWOT analysis compilation. To utilize the outputs of these methods and to suggest an improvements of the club's marketing mix. Methods: The analysis of the mix is performed using descriptive analysis, quantitative and qualitative marketing research through questionnaires, interview, as well as situational analysis through SWOT analysis. Results: The output of the analysis and marketing research are specific marketing mix elements improvement proposals. The main suggestions are extension and alteration of the structure of offered lessons, forms of discounts, expansion of forms of payment, utilization of direct marketing tools and electronisation of the part of the service process. Keywords: marketing, marketing research, SWOT analysis, sport services, kickbox
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Option Pricing
Moravec, Radek ; Hurt, Jan (advisor)
Title: Option Pricing Author: Radek Moravec Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Jan Hurt, CSc., Department of Probability and Mathematical Statistics In the present thesis we deal with European call option pricing using lattice approaches. We introduce a discrete market model and show a way how to find an arbitrage price of financial instruments on complete markets. It's equal to the discounted value of future expected cash flow. We present the binomial option pricing model and generalize it into multinomial model. We test the resulting formula on real market data obtained from NYSE and NASDAQ. We suggest a parameter estimate method which is based on time series of historical observations of daily close price. We compare calculated option prices with their real market value and try to explain the reasons of the differences. 1
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Option Pricing
Moravec, Radek ; Hurt, Jan (advisor) ; Cipra, Tomáš (referee)
Title: Option Pricing Author: Radek Moravec Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Jan Hurt, CSc., Department of Probability and Mathematical Statistics In the present thesis we deal with European call option pricing using lattice approaches. We introduce a discrete market model and show a way how to find an arbitrage price of financial instruments on complete markets. It's equal to the discounted value of future expected cash flow. We present the binomial option pricing model and generalize it into multinomial model. We test the resulting formula on real market data obtained from NYSE and NASDAQ. We suggest a parameter estimate method which is based on time series of historical observations of daily close price. We compare calculated option prices with their real market value and try to explain the reasons of the differences. 1
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Option Pricing and Variance Gamma Process
Moravec, Radek ; Málek, Jiří (advisor) ; Paholok, Igor (referee)
The submitted work deals with option pricing. Mathematical approach is immediately followed by an economic interpretation. The main problem is to model the underlying uncertainities driving the stock price. Using two well-known valuation models, binomial model and Black-Scholes model, we explain basic principles, especially risk neutral pricing. Due to the empirical biases new models have been developped, based on pure jump process. Variance gamma process and its special symmetric case are presented.
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Studentská konta v produktové nabídce českých bank
Moravec, Radek ; Půlpánová, Stanislava (advisor)
Práce se zabývá studentskými účty pěti českých bank ? České spořitelny, Československé obchodní banky, GE Money Bank, Komerční banky a UniCredit Bank. Analyzuje rozmístění bankomatů a souvislost strategií jednotlivých bank. Ukazuje, že primárním faktorem určujícím množství provozovaných bankomatů je počet obyvatel daného města, a prokazuje souvislost mezi zvolenými strategiemi ČSOB a České spořitelny. Dále jsou zkoumány poplatky spojené s provozováním účtů. Jednofaktorová analýza rozptylu prokazuje, že UniCredit Bank nastavuje výši poplatků bez ohledu na konkurenci. V modelových situacích je počítána finanční výhodnost produktů jednotlivých bank.
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