Monte Carlo metódy vo finančnej analýze
Monte Carlo methods in financial analysis
Monte Carlo metody ve finanční analýze
bachelor thesis (DEFENDED)
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http://hdl.handle.net/20.500.11956/15949Identifiers
Study Information System: 46670
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- Kvalifikační práce [11266]
Faculty / Institute
Faculty of Mathematics and Physics
Discipline
Financial Mathematics
Department
Department of Probability and Mathematical Statistics
Date of defense
25. 6. 2008
Publisher
Univerzita Karlova, Matematicko-fyzikální fakultaLanguage
Slovak
Grade
Excellent
Nazov pracc; Monte Carlo mctody vo financnej analyze Autor: Milan Mad'ar Katedra: Katedra pravdepodobnosti a matematicke statistiky Vediici bakalarskcj pracc: Doc. RNDr. Jan Hurt CSc. E-mail vediiceho: hurt(a;karlin.mff.cuni.cz Abstrakt: Tato bakalarska praca sa zaobera popisom metody Monte Carlo a jcj vyuzitim pri occhovani exotickych opcnych kontraktov, konkretne barierovych opcii. V tejto praci sa najprv venujem historii a obccnc popisem obyeajnu metodu Monte Carlo. Dalcj rozvinicm niektore metody redukcie ro/ptyln, ktorc mozu znacne zefektivnit' vypocet vcetne metody kva/i Monte Carlo. Neskor uvediem zakladne pojiny, terminologiu a matematicke zaklady modelu pre ocenovanie barierovych opcii, vysvetlcnia ieh podstaty a sposob pou/Jtia simulaeii Monte Carlo. Na zaver ocenim tymto modelom dve barierovc KX opcic prieom naznacim aj ehybu simulacie. Kl'iicovc slova: simulacie Monte Carlo; barierovc opcic; ocenovanie opcii Title: Monte Carlo methods in financial analysis Author: Milan Mad'ar Department: Department oi" Probability and MathematicalStatistics Supervisor: Doc. RNDr. Jan Hurt CSc. Supervisor's e-mail address: hurt^karlin.mtT.cuni.cz Abstract: In this bachelor thesis will be discussed the description and application of Monte Carlo method to pricing exotic options contracts, particularly barrier...
Nazov pracc; Monte Carlo mctody vo financnej analyze Autor: Milan Mad'ar Katedra: Katedra pravdepodobnosti a matematicke statistiky Vediici bakalarskcj pracc: Doc. RNDr. Jan Hurt CSc. E-mail vediiceho: hurt(a;karlin.mff.cuni.cz Abstrakt: Tato bakalarska praca sa zaobera popisom metody Monte Carlo a jcj vyuzitim pri occhovani exotickych opcnych kontraktov, konkretne barierovych opcii. V tejto praci sa najprv venujem historii a obccnc popisem obyeajnu metodu Monte Carlo. Dalcj rozvinicm niektore metody redukcie ro/ptyln, ktorc mozu znacne zefektivnit' vypocet vcetne metody kva/i Monte Carlo. Neskor uvediem zakladne pojiny, terminologiu a matematicke zaklady modelu pre ocenovanie barierovych opcii, vysvetlcnia ieh podstaty a sposob pou/Jtia simulaeii Monte Carlo. Na zaver ocenim tymto modelom dve barierovc KX opcic prieom naznacim aj ehybu simulacie. Kl'iicovc slova: simulacie Monte Carlo; barierovc opcic; ocenovanie opcii Title: Monte Carlo methods in financial analysis Author: Milan Mad'ar Department: Department oi" Probability and MathematicalStatistics Supervisor: Doc. RNDr. Jan Hurt CSc. Supervisor's e-mail address: hurt^karlin.mtT.cuni.cz Abstract: In this bachelor thesis will be discussed the description and application of Monte Carlo method to pricing exotic options contracts, particularly barrier...