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  • V tomto článku jsou jednak objasněny principy fungování binomického a trinomického modelu a dále pak jejich konvergence na vybraném případě ocenění evropské call opce a americké put opce. Možnosti aplikace obou modelů leží zejména v řešení manažersky zaměřených problémech reálných opcí, které často nabývají podobu opcí amerických. (cs)
  • In this paper we show, that the volatility can be treated not only as a crisp number or described by its probability distribution but also formulated as an interval value. It is supposed that it can be of any value within its extremes (with given possibility) so that it can be specified as a fuzzy number. Subsequently, we run a fuzzy simulation to get the expected value and combine it with geometric Brownian motion to produce Fuzzy Monte Carlo simulation. Hence, we suppose the Black and Scholes world with unknown volatility. Finally, we can get not only the extremes of option prices, but also its fuzzy expected value, depending on the problem specification.
  • In this paper we show, that the volatility can be treated not only as a crisp number or described by its probability distribution but also formulated as an interval value. It is supposed that it can be of any value within its extremes (with given possibility) so that it can be specified as a fuzzy number. Subsequently, we run a fuzzy simulation to get the expected value and combine it with geometric Brownian motion to produce Fuzzy Monte Carlo simulation. Hence, we suppose the Black and Scholes world with unknown volatility. Finally, we can get not only the extremes of option prices, but also its fuzzy expected value, depending on the problem specification. (en)
Title
  • The convergence of binomial and trinomial option pricing models
  • Konvergence binomického a trinomickéeho modelu oceňování opcí (cs)
  • The convergence of binomial and trinomial option pricing models (en)
skos:prefLabel
  • The convergence of binomial and trinomial option pricing models
  • Konvergence binomického a trinomickéeho modelu oceňování opcí (cs)
  • The convergence of binomial and trinomial option pricing models (en)
skos:notation
  • RIV/61989100:27510/06:00013495!RIV07-GA0-27510___
http://linked.open.../vavai/riv/strany
  • 381-391
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/04/1357)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
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  • 469803
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/06:00013495
http://linked.open...riv/jazykVysledku
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  • Option pricing; American option; binomial model; trinomial model; convergence (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [EE609A4267EB]
http://linked.open...i/riv/mistoVydani
  • Ostrava
http://linked.open...i/riv/nazevZdroje
  • Řízení a modelování finančních rizik - Managing and Modelling of Financial Risks
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Tichý, Tomáš
number of pages
http://purl.org/ne...btex#hasPublisher
  • Vysoká škola báňská - Technická univerzita Ostrava. Ekonomická fakulta
https://schema.org/isbn
  • 80-248-1159-6
http://localhost/t...ganizacniJednotka
  • 27510
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