Valuation of financial derivatives
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090793" target="_blank" >RIV/61989100:27510/14:86090793 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Valuation of financial derivatives
Original language description
The introduction of Fischer Black and Myron Scholes's famous option pricing model in 1973 was the spur for several authors to propose alternative models and methodologies for pricing options accurately. European Put and Call are known as vanilla options;that is, they are the most basic type of option, with relatively simple features and payoffs. Based on the concept of risk-neutral pricing and using stochastic calculus, a variety of numerical models and methodologies have been used to determine the theoretical value of an option. In this work, we discuss and empirically analyse the importance of a practice common to every numerical procedure for pricing a derivative contract: the grid construction. It is a relevant factor in different techniques and we describe and propose different solutions. An empirical application illustrates the advantages of a well-specified grid in the evaluation of call and put options during its life and the value changes for different time and space steps.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
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
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
ECON ? Journal of Economic, Management and Business
ISSN
1803-3865
e-ISSN
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Volume of the periodical
24
Issue of the periodical within the volume
3
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
10
Pages from-to
131-140
UT code for WoS article
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EID of the result in the Scopus database
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