Valuation of financial derivatives

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Valuation of financial derivatives

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Valuation of financial derivatives

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

ECON ? Journal of Economic, Management and Business

ISSN

1803-3865

e-ISSN

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Svazek periodika

24

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

10

Strana od-do

131-140

Kód UT WoS článku

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EID výsledku v databázi Scopus

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