About: Valuation of financial derivatives

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The introduction of Fischer Black and Myron Scholes's famous option pricing model in 1973 was the spur for several authors to propose alternative models and methodologies for pricing options accurately. European Put and Call are known as vanilla options; that is, they are the most basic type of option, with relatively simple features and payoffs. Based on the concept of risk-neutral pricing and using stochastic calculus, a variety of numerical models and methodologies have been used to determine the theoretical value of an option. In this work, we discuss and empirically analyse the importance of a practice common to every numerical procedure for pricing a derivative contract: the grid construction. It is a relevant factor in different techniques and we describe and propose different solutions. An empirical application illustrates the advantages of a well-specified grid in the evaluation of call and put options during its life and the value changes for different time and space steps. The introduction of Fischer Black and Myron Scholes's famous option pricing model in 1973 was the spur for several authors to propose alternative models and methodologies for pricing options accurately. European Put and Call are known as vanilla options; that is, they are the most basic type of option, with relatively simple features and payoffs. Based on the concept of risk-neutral pricing and using stochastic calculus, a variety of numerical models and methodologies have been used to determine the theoretical value of an option. In this work, we discuss and empirically analyse the importance of a practice common to every numerical procedure for pricing a derivative contract: the grid construction. It is a relevant factor in different techniques and we describe and propose different solutions. An empirical application illustrates the advantages of a well-specified grid in the evaluation of call and put options during its life and the value changes for different time and space steps. (en)
Title	Valuation of financial derivatives Valuation of financial derivatives (en)
skos:prefLabel	Valuation of financial derivatives Valuation of financial derivatives (en)
skos:notation	RIV/61989100:27510/14:86090793!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(EE2.3.20.0296), P(GA13-13142S), S
http://linked.open...iv/cisloPeriodika	3
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Cassader, Marco
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
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	52934
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86090793
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	derivatives; financial; Valuation (en)
http://linked.open.../riv/klicoveSlovo	financial derivatives Valuation
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[37848F6D465F]
http://linked.open...i/riv/nazevZdroje	ECON – Journal of Economic, Management and Business
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (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
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	24
http://linked.open...iv/tvurceVysledku	Cassader, Marco
issn	1803-3865
number of pages	10 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

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