About: Numerical Methods for Option Pricing

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	European Puts and Calls are known as vanilla options, that is, they are the most basic type of options, with relatively simple features and payoffs. Whilst for these options a closed form solution exists, in the global financial markets are traded different contingent claims with more complicated payoffs. Many mod-els are used to price European options and it is difficult to define the best one. In fact, for different strike prices and in different time periods one model is pre-ferred to others since it is more suitable to find an option value close to the market price. Based on the concept of risk neutral pricing and using stochastic calculus, variety of numerical models and methodologies have been used to de-termine the theoretical value of an option. In this paper, we discuss four differ-ent techniques used for pricing options and we test them with some empirical analysis. European Puts and Calls are known as vanilla options, that is, they are the most basic type of options, with relatively simple features and payoffs. Whilst for these options a closed form solution exists, in the global financial markets are traded different contingent claims with more complicated payoffs. Many mod-els are used to price European options and it is difficult to define the best one. In fact, for different strike prices and in different time periods one model is pre-ferred to others since it is more suitable to find an option value close to the market price. Based on the concept of risk neutral pricing and using stochastic calculus, variety of numerical models and methodologies have been used to de-termine the theoretical value of an option. In this paper, we discuss four differ-ent techniques used for pricing options and we test them with some empirical analysis. (en)
Title	Numerical Methods for Option Pricing Numerical Methods for Option Pricing (en)
skos:prefLabel	Numerical Methods for Option Pricing Numerical Methods for Option Pricing (en)
skos:notation	RIV/61989100:27510/14:86090773!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), S
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Tichý, Tomáš Cassader, Marco
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	33291
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86090773
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Pricing; Option; for; Methods; Numerical (en)
http://linked.open.../riv/klicoveSlovo	Option for Methods Numerical Pricing
http://linked.open...ontrolniKodProRIV	[D663A4B1D88B]
http://linked.open...v/mistoKonaniAkce	Olomouc
http://linked.open...i/riv/mistoVydani	Olomouc
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Research team for modelling of economic and financial processes at VSB-TU Ostrava Verification of suitability of particular Lévy models for selected issues of financial modeling IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Cassader, Marco
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2014-09-10 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Palackého v Olomouci
https://schema.org/isbn	978-80-244-4209-9
http://localhost/t...ganizacniJednotka	27510

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