Numerical Methods for Option Pricing

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090773" target="_blank" >RIV/61989100:27510/14:86090773 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Numerical Methods for Option Pricing
Original language description
European Puts and Calls are known as vanilla options, that is, they are the most basic type of options, with relatively simple features and payoffs. Whilst for these options a closed form solution exists, in the global financial markets are traded different contingent claims with more complicated payoffs. Many mod-els are used to price European options and it is difficult to define the best one. In fact, for different strike prices and in different time periods one model is pre-ferred to others since itis more suitable to find an option value close to the market price. Based on the concept of risk neutral pricing and using stochastic calculus, variety of numerical models and methodologies have been used to de-termine the theoretical value of an option. In this paper, we discuss four differ-ent techniques used for pricing options and we test them with some empirical analysis.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
73-78
Publisher name
Palacký University
Place of publication
Olomouc
Event location
Olomouc
Event date
Sep 10, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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