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Description
| - Obecně existuje mnoho metod jak zjistit teoreticky správnou hodnotu opce. Velmi užitečným postupem je simulace Monte Carlo. A to zejména v případě komplikovaných výplatních funkcí či komplexních podkladových modelů. Jednoduchá simulace Monte Carlo však vyžaduje velmi vysoký počet scénářů k získání spolehlivého výsledku. Proto jsou často aplikovány některé z metod zaměřených na redukci rozptylu. V tomto článku některé z nich prezentujeme. Nejprve jsou generovány náhodné prvky z vybraných rozložení, normálního a parametrického, (i) a (ii)  . Následně je každá z metod aplikována při hledání správné ceny běžné call opce a bariérové up-and-out call opce. Problém nalezení hodnoty opce tedy řešíme ve dvou prostředích -Black a Scholes (1973) a Variance gama model (Madan et al., 1998). (cs)
- In general, there are available many ways to detect the value of financial derivatives. Very useful approach is Monte Carlo simulation, mainly in case of complicated payoff functions or complex underlying processes. Unfortunately, the plain Monte Carlo simulation needs a very high number of independent paths to get reliable results. Fortunately, there exists many ways to decrease the number of paths via application of the variance reduction methods. In this paper we present some of theme. First, we generate (i) and (ii)  random numbers. The second one was chosen as an example of a complex model which results in complicated applications. On the other hand it allows us to model the underlying distribution more reliably. Later we apply each of the methods to estimate the value of the European call option and barrier up-and-out call option within both settings - the Black and Scholes (1973) and the Variance gamma model (Madan et al., 1998).
- In general, there are available many ways to detect the value of financial derivatives. Very useful approach is Monte Carlo simulation, mainly in case of complicated payoff functions or complex underlying processes. Unfortunately, the plain Monte Carlo simulation needs a very high number of independent paths to get reliable results. Fortunately, there exists many ways to decrease the number of paths via application of the variance reduction methods. In this paper we present some of theme. First, we generate (i) and (ii)  random numbers. The second one was chosen as an example of a complex model which results in complicated applications. On the other hand it allows us to model the underlying distribution more reliably. Later we apply each of the methods to estimate the value of the European call option and barrier up-and-out call option within both settings - the Black and Scholes (1973) and the Variance gamma model (Madan et al., 1998). (en)
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Title
| - Efficient ways of Monte Carlo simulation in option pricing under complex underlying processes
- Efficient ways of Monte Carlo simulation in option pricing under complex underlying processes (en)
- Efektivní metody simulace Monte Carlo při oceňování opcí v rámci komplexních podkladových procesů (cs)
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skos:prefLabel
| - Efficient ways of Monte Carlo simulation in option pricing under complex underlying processes
- Efficient ways of Monte Carlo simulation in option pricing under complex underlying processes (en)
- Efektivní metody simulace Monte Carlo při oceňování opcí v rámci komplexních podkladových procesů (cs)
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skos:notation
| - RIV/61989100:27510/05:00011846!RIV06-GA0-27510___
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http://linked.open.../vavai/riv/strany
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
| - P(GA402/04/1357), P(GP402/05/P085)
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/05:00011846
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - option pricing; MC simulation; VG process; variance reduction method (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...ontrolniKodProRIV
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http://linked.open...v/mistoKonaniAkce
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http://linked.open...i/riv/mistoVydani
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http://linked.open...i/riv/nazevZdroje
| - Future of the Banking after the Year 2000 in the World and in the Czech Republic
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...vavai/riv/projekt
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http://linked.open...UplatneniVysledku
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http://linked.open...iv/tvurceVysledku
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http://linked.open...vavai/riv/typAkce
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http://linked.open.../riv/zahajeniAkce
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number of pages
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http://purl.org/ne...btex#hasPublisher
| - Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
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https://schema.org/isbn
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http://localhost/t...ganizacniJednotka
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