|Author:||Mgr. Kamil Nekula|
|Year:||2004 - summer|
|Leaders:|| prof. Ing. Miloslav Vošvrda CSc.
|Work type:|| Financial Markets
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis|
|Abstract:||Contracts derived from underlying assets such as commodities, currencies, shares
or bonds are traded on financial option markets, which have in the past ten years been one
of the most important phenomena. An option derivate is a financial product with its price being predominantly deduced from the prices of underlying assets on the spot market.
In consequence of the price dependency derivatives are general contingent claims exercising considerable influence on the mathematics of these instruments.
This thesis is aimed at giving an in-depth analysis of the main financial options. Particular emphasis has been placed on valuation methods in continuous time (the Black-Sholes model and the modifications), and valuation methods in discrete time (the binomial and trinomial tree). Attention is paid to issues arising in practical application
of these models, e.g issues historic or implied volatility. The B--S model is based on constant volatility, which is for instance in case of revenue volatility in actuality hardly constant
or determined by the price only of the underlying assets. The work is as well concerned with volatility disturbances, e.g. the volatility smile or volatility smirk.
Much as the author wishes to deal with some less common modifications such as the exotic options, it is patently obvious that due to new varied option trades arising continually the work cannot be exhaustive.
|Downloadable:|| Diploma Thesis - Nekula