Black-Scholes Model of Pricing of Financial Options
|Author:||Mgr. Jiří Slačálek|
|Year:||1998 - summer|
|Leaders:|| prof. RNDr. Jan Ámos Víšek CSc.
|Work type:|| Financial Markets
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance and for an extraordinarily good masters diploma thesis|
|Abstract:||This thesis reviews the existing literature on pricing of financial
option. I primarily consider the most widespread model, the Black-Scholes model. I describe and discuss its assumptions and give intuition for main mathematical implications of the model. I review several generalizations of the Black-Scholes model, in particular, alternative assumptions on the stochastic process describing the price of the underlying stock. The empirical section of the paper test the implications of the model on the data from the Chicago Board Options Exchange.
|Downloadable:|| Diploma Thesis - Slačálek