Volatility smile of options
| Autor: | Bc. Dominik Plaček |
|---|---|
| Rok: | 2022 - letní |
| Vedoucí: | prof. PhDr. Ladislav Krištoufek Ph.D. |
| Konzultant: | |
| Typ práce: | Bakalářská |
| Jazyk: | Anglicky |
| Stránky: | 40 |
| Ocenění: | |
| Odkaz: | https://dspace.cuni.cz/handle/20.500.11956/175582 |
| Abstrakt: | This bachelor’s thesis introduces the basics of financial derivatives, especially options, and also clearly derives the Black Scholes model. A partial goal is to understand this derivation and, above all, to revise erroneous assumptions, especially those about volatility and the stochastic distribution of underlying asset prices. The solution offers several perspectives on volatility modeling and introduces their properties. The problematic Volatility smile is empirically verified using options data of companies Apple and Microsoft. The final discussion indicates which solution is appropriate to develop further. From a practical point of view, it introduces the methods that traders use in practice |
