This HTML5 document contains 43 embedded RDF statements represented using HTML+Microdata notation.

The embedded RDF content will be recognized by any processor of HTML5 Microdata.

Namespace Prefixes

PrefixIRI
n12http://linked.opendata.cz/ontology/domain/vavai/riv/typAkce/
n15http://linked.opendata.cz/resource/domain/vavai/vysledek/RIV%2F00216224%3A14560%2F14%3A00077219%21RIV15-MSM-14560___/
dctermshttp://purl.org/dc/terms/
n18http://localhost/temp/predkladatel/
n9http://purl.org/net/nknouf/ns/bibtex#
n16http://linked.opendata.cz/resource/domain/vavai/riv/tvurce/
n11http://linked.opendata.cz/ontology/domain/vavai/
n20https://schema.org/
shttp://schema.org/
n4http://linked.opendata.cz/ontology/domain/vavai/riv/
skoshttp://www.w3.org/2004/02/skos/core#
n2http://linked.opendata.cz/resource/domain/vavai/vysledek/
rdfhttp://www.w3.org/1999/02/22-rdf-syntax-ns#
n10http://linked.opendata.cz/ontology/domain/vavai/riv/klicoveSlovo/
n14http://linked.opendata.cz/ontology/domain/vavai/riv/duvernostUdaju/
xsdhhttp://www.w3.org/2001/XMLSchema#
n19http://linked.opendata.cz/ontology/domain/vavai/riv/jazykVysledku/
n17http://linked.opendata.cz/ontology/domain/vavai/riv/aktivita/
n13http://linked.opendata.cz/ontology/domain/vavai/riv/obor/
n6http://linked.opendata.cz/ontology/domain/vavai/riv/druhVysledku/
n8http://reference.data.gov.uk/id/gregorian-year/

Statements

Subject Item
n2:RIV%2F00216224%3A14560%2F14%3A00077219%21RIV15-MSM-14560___
rdf:type
skos:Concept n11:Vysledek
dcterms:description
Black-Scholes model (BS) and lattices are well-known methodologies applied to option pricing, with their own specific features and properties. Briefly, lattices are discrete in the inner computing process and stochastically based, while BS is represented by a continuous functional form without single steps, but deterministic only. The strong assumption of constant volatility and the inability of application in valuing “American” options represent major disadvantages of the BS model. Its main advantage is its simplicity and ease of application. The use of Monte Carlo simulations constitutes an alternative to this model. Its main advantages include a relatively easy procedure of calculation and efficiency. Problems can arise when applied to the “American” option. Likewise, this method does not belong among highly sophisticated ones due to the requirements of prerequisites. If we were to consider a model that can work with the “American“ option, i.e. Black-Scholes model (BS) and lattices are well-known methodologies applied to option pricing, with their own specific features and properties. Briefly, lattices are discrete in the inner computing process and stochastically based, while BS is represented by a continuous functional form without single steps, but deterministic only. The strong assumption of constant volatility and the inability of application in valuing “American” options represent major disadvantages of the BS model. Its main advantage is its simplicity and ease of application. The use of Monte Carlo simulations constitutes an alternative to this model. Its main advantages include a relatively easy procedure of calculation and efficiency. Problems can arise when applied to the “American” option. Likewise, this method does not belong among highly sophisticated ones due to the requirements of prerequisites. If we were to consider a model that can work with the “American“ option, i.e.
dcterms:title
The Classical and Stochastic Approach to Option Pricing The Classical and Stochastic Approach to Option Pricing
skos:prefLabel
The Classical and Stochastic Approach to Option Pricing The Classical and Stochastic Approach to Option Pricing
skos:notation
RIV/00216224:14560/14:00077219!RIV15-MSM-14560___
n4:aktivita
n17:S
n4:aktivity
S
n4:dodaniDat
n8:2015
n4:domaciTvurceVysledku
n16:7765541 n16:9445757
n4:druhVysledku
n6:D
n4:duvernostUdaju
n14:S
n4:entitaPredkladatele
n15:predkladatel
n4:idSjednocenehoVysledku
7442
n4:idVysledku
RIV/00216224:14560/14:00077219
n4:jazykVysledku
n19:eng
n4:klicovaSlova
option pricing; lattices; Black-Scholes model; volatility; Geometric Brownian motion
n4:klicoveSlovo
n10:Black-Scholes%20model n10:lattices n10:option%20pricing n10:volatility n10:Geometric%20Brownian%20motion
n4:kontrolniKodProRIV
[5D88FE2A4188]
n4:mistoKonaniAkce
Lednice
n4:mistoVydani
Brno
n4:nazevZdroje
Proceedings of the 11th International Scientific Conference European Financial Systems 2014
n4:obor
n13:AH
n4:pocetDomacichTvurcuVysledku
2
n4:pocetTvurcuVysledku
2
n4:rokUplatneniVysledku
n8:2014
n4:tvurceVysledku
Benada, Luděk Cupal, Martin
n4:typAkce
n12:WRD
n4:wos
000350701500006
n4:zahajeniAkce
2014-01-01+01:00
s:numberOfPages
7
n9:hasPublisher
Masaryk University
n20:isbn
9788021071537
n18:organizacniJednotka
14560