Dissertation/ Thesis
Egzotične opcije ; Exotic Options
| Title: | Egzotične opcije ; Exotic Options |
|---|---|
| Authors: | Keglević, Nera |
| Contributors: | Šuvak, Nenad |
| Publisher Information: | Sveučilište Josipa Jurja Strossmayera u Osijeku. Odjel za matematiku. Zavod za teorijsku matematiku. Katedra za teoriju vjerojatnosti i matematičku statistiku. Josip Juraj Strossmayer University of Osijek. Department of Mathematics. Chair of Pure Mathematics. Probability and Mathematical Statistics Research Group. |
| Publication Year: | 2019 |
| Collection: | Repository of the University of Osijek |
| Subject Terms: | Brownovo gibanje, geometrijsko Brownovo gibanje, Black-Scholes formula, Monte Carlo metoda, europska opcija, azijska opcija, barrier opcija, lookback opcija, Brownian motion, geometric Brownian motion, Monte Carlo method, European option, Asian option, barrier option, lookback option, PRIRODNE ZNANOSTI. Matematika. Teorija vjerojatnosti i statistika, NATURAL SCIENCES. Mathematics. Probability Theory and Statistics |
| Description: | Na početku rada predstavljen je model Brownovog gibanja. Za početak, objašnjena je konstrukcija i sama definicija Brownovog gibanja i osnovna svojstva. Nadalje, opisan je model geometrijskog Brownovog gibanja koji je prikladniji za modeliranje cijena dionica. Pokazano je na koji se način mogu simulirati Brownovo gibanje i geometrijsko Brownovo gibanje. Osim toga, predstavljena je Black-Scholes formula za europsku call i put opciju. U drugom su poglavlju navedena svojstva očekivanja i varijance Monte Carlo procjenitelja te kako koristiti Monte Carlo metode prilikom vrednovanja egzotičnih opcija. U trećem su poglavlju objašnjene redom azijska, barrier i lookback opcija te su istaknuta najvažnija svojstva svake pojedine opcije. Naposljetku, simulirane su cijene dionica i promatrani odnosi izmedu cijena europskih call i put opcija i pripadajućih call i put egzotičnih opcija ; At, its beginning this graduate thesis introduces Brownian motion model. The construction and the definition of Brownian motion are described. Basic properties of Brownian motion are also shown. Furthermore, geometric Brownian motion model is described since it is more suitable for modelling stock prices. Simulations of Brownian and geometric Brownian motion model are demonstrated. Additionally, Black-Scholes formula for European call and put options is introduced. In the second part of paper, expectation and variance of Monte Carlo estimator are formulated and proven, also the benefit of Monte Carlo methods while pricing exotic options is shown. In third part of paper, Asian, barrier and lookback options are explained, furthermore their most important properties are mentioned. Finally, stock prices are simulated, relations between prices of European call and put options and belonging call and put exotic options are observed. |
| Document Type: | master thesis |
| File Description: | application/pdf |
| Language: | Croatian |
| Relation: | https://repozitorij.unios.hr/islandora/object/mathos:280; https://urn.nsk.hr/urn:nbn:hr:126:044599; https://repozitorij.unios.hr/islandora/object/mathos:280/datastream/PDF |
| Availability: | https://repozitorij.unios.hr/islandora/object/mathos:280 https://urn.nsk.hr/urn:nbn:hr:126:044599 https://repozitorij.unios.hr/islandora/object/mathos:280/datastream/PDF |
| Rights: | http://rightsstatements.org/vocab/InC/1.0/ ; info:eu-repo/semantics/openAccess |
| Accession Number: | edsbas.743A288E |
| Database: | BASE |
| Description not available. |