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Empirical verification of the Monte-Carlo simulation option pricing.
This paper deals with option pricing by using Monte-Carlo simulation. Monte-Carlo approach is used for option pricing European option on shares of the Cisco Systems company. The simulation prices ...
AH - Ekonomie
- 2003 •
- D
Rok uplatnění
D - Stať ve sborníku
Application of Monte-Carlo Methods in Option Pricing
Using simulation is a new approach for option pricing and pricing of other derivatives. Interest in use of Monte-Carlo methods for option pricing is increasing and its extensions for option pr...
AH - Ekonomie
- 2004 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Pricing options in life insurance
Pricing of some options in life insurance can be based on similar principles as pricing of financial options. The paper demonstrates it by giving five options (the lump sum option in deferred annu...
BA - Obecná matematika
- 2003 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Risk Quantification - Early History of Option Pricing
Basic themes of document: option pricing; Prague Stock Exchange; option contracts...
AH - Ekonomie
- 2005 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
The time value as factor option pricing
Article discusses option pricing focusing on the importance of the time value...
AH - Ekonomie
- 2008 •
- D
Rok uplatnění
D - Stať ve sborníku
An estimate of risk neutral density based on european option prices
The proposed estimate of risk neutral density based on european option prices is applied on the observed option prices on the DAX....
BB - Aplikovaná statistika, operační výzkum
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
American Option Pricing Problem Formulated as Variational Inequality Problem
The paper deals with variational formulation of option pricing problems. Pricing American options requires, due to the early exercise feature. Unlike in the European case, the pricing function of an Americ...
AH - Ekonomie
- 2016 •
- D
Rok uplatnění
D - Stať ve sborníku
Review of Applying European Option Pricing Models
An option is a derivative financial instrument that establishes a contract between two parities concerning the buying or selling of an asset at a reference price. The price of an option derives from the difference ...
Finance
- 2017 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Pricing general spread option on interest rates
The paper deals with pricing general spread option on two interest rates.
BA - Obecná matematika
- 2003 •
- D
Rok uplatnění
D - Stať ve sborníku
Covariance structure of European option prices
The time of the trade is used to derive a simple model for the covariance structure of the observed option prices.
BB - Aplikovaná statistika, operační výzkum
- 2005 •
- D
Rok uplatnění
D - Stať ve sborníku
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