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  • Volatility is a crucial parameter to put into the option valuation model. The volatility of returns is not directly observable. In many cases, we cannot be sure about proper value. In this paper we study binomial model and provide its generalization for imprecisely stated input parameter of volatility. The model is formulated in two distinct ways: firstly, the volatility is specified by its extremes; secondly, it is stated as a fuzzy number.
  • Volatility is a crucial parameter to put into the option valuation model. The volatility of returns is not directly observable. In many cases, we cannot be sure about proper value. In this paper we study binomial model and provide its generalization for imprecisely stated input parameter of volatility. The model is formulated in two distinct ways: firstly, the volatility is specified by its extremes; secondly, it is stated as a fuzzy number. (en)
  • Volatilita představuje klíčový parametr při kompletaci opčního oceňovacího modelu. Volatilita výnosů však je mnohdy špatně měřitelná - není přímo pozorovatelná. V mnoha případech si tak nemůžeme být jisti správnou hodnotou. V tomto článku je studován případ binomického modelu, konkrétně jeho zobecnění pro nepřesně specifikovaný parametr volatility. Tu formulujeme dvěma způsoby: pomocí extrémních hodnot a jako fuzzy číslo. (cs)
Title
  • The binomial model of option pricing and imprecisely stated volatlity
  • The binomial model of option pricing and imprecisely stated volatlity (en)
  • Binomický model oceňování opcí a nepřesně určená volatilita (cs)
skos:prefLabel
  • The binomial model of option pricing and imprecisely stated volatlity
  • The binomial model of option pricing and imprecisely stated volatlity (en)
  • Binomický model oceňování opcí a nepřesně určená volatilita (cs)
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  • RIV/61989100:27510/05:00011851!RIV06-GA0-27510___
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  • 333-342
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  • P(GP402/05/P085)
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  • RIV/61989100:27510/05:00011851
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  • Binomial model; option pricing; imprecisely stated volatility; fuzzy number (en)
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  • CZ - Česká republika
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  • [2324B54A2FE7]
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  • ECON´05
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  • 12
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  • Tichý, Tomáš
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  • 0862-7908
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  • 27510
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