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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Interest rate options and their valuation in binomial model
 Ondruš, Martin ; Slámová, Lenka (advisor) ; Hurt, Jan (referee)
This work discusses about binomial pricing model, which is the basic principle for pricing of any kind of financial assets. We define its brief definition and show its main characteristics. Next, this work discusses about models of the short rate, especially to their discrete versions. From this set of models, we choose one of the most important interest rate models, which is Ho-Lee model and we look at it in details. According to its basis we interpret calibrating of binomial tree. Finally, we perform how to price different kinds of interest rate options such as caps or barrier options according to Ho-Lee model as well. We use mathematical software Mathematica for pricing options and calibrating of binomial tree.
Detailed record
Interest rate options and their valuation in binomial model
 Ondruš, Martin ; Slámová, Lenka (advisor) ; Hurt, Jan (referee)
This work discusses about binomial pricing model, which is the basic principle for pricing of any kind of financial assets. We define its brief definition and show its main characteristics. Next, this work discusses about models of the short rate, especially to their discrete versions. From this set of models, we choose one of the most important interest rate models, which is Ho-Lee model and we look at it in details. According to its basis we interpret calibrating of binomial tree. Finally, we perform how to price different kinds of interest rate options such as caps or barrier options according to Ho-Lee model as well. We use mathematical software Mathematica for pricing options and calibrating of binomial tree.
Detailed record

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