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undergraduate thesis
Kontinuirani modeli za vrednovanje opcija
Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing, 2023. urn:nbn:hr:168:743021
Sušec, Adrian
University of Zagreb
Faculty of Electrical Engineering and Computing

Institutional repository: FER Repository

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Sušec, A. (2023). Kontinuirani modeli za vrednovanje opcija (Undergraduate thesis). Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing. Retrieved from https://urn.nsk.hr/urn:nbn:hr:168:743021

Sušec, Adrian. "Kontinuirani modeli za vrednovanje opcija." Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2023. https://urn.nsk.hr/urn:nbn:hr:168:743021

Sušec, Adrian. "Kontinuirani modeli za vrednovanje opcija." Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, 2023. https://urn.nsk.hr/urn:nbn:hr:168:743021

Sušec, A. (2023). 'Kontinuirani modeli za vrednovanje opcija', Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, accessed 18 July 2024, https://urn.nsk.hr/urn:nbn:hr:168:743021

Sušec A. Kontinuirani modeli za vrednovanje opcija [Undergraduate thesis]. Zagreb: University of Zagreb, Faculty of Electrical Engineering and Computing; 2023 [cited 2024 July 18] Available at: https://urn.nsk.hr/urn:nbn:hr:168:743021

A. Sušec, "Kontinuirani modeli za vrednovanje opcija", Undergraduate thesis, University of Zagreb, Faculty of Electrical Engineering and Computing, Zagreb, 2023. Available at: https://urn.nsk.hr/urn:nbn:hr:168:743021

Metadata
TitleKontinuirani modeli za vrednovanje opcija
Title (english)Continuous models for option pricing
AuthorAdrian Sušec
MentorZvonko Kostanjčar (mentor)
Committee memberZvonko Kostanjčar (predsjednik povjerenstva)
Committee memberSven Goluža (član povjerenstva)
Committee memberTessa Bauman (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Electrical Engineering and Computing
Zagreb
Defense date and country2023-07-06, Croatia
Scientific / art field,
discipline and subdiscipline		TECHNICAL SCIENCES
Computing
Abstract
Opcije su financijski derivati temeljeni na dionicama iza kojih stoje mnoge metode kojima se određuje njihova poštena cijena. Ti modeli mogu biti vremenski kontinuirani ili diskretni. Black-Scholesov model jedan je od kontinuiranih modela koji se koristi u tu svrhu. Cilj ovog rada određivanje je cijene opcije pomoću dostupnih parametara i podataka te usporedba sa stvarnim tržišnim cijenama. Korištenje povijesne volatilnosti kao parametar modela u određenim je slučajevima dovoljno dobra procjena pomoću koje možemo dobiti precizne rezultate. Pokazuje se da je model precizniji za in the money opcije u usporedbi sa out of the money opcijama. Određivanje buduće volatilnosti najveći je izazov prilikom određivanja cijena opcija i obzirom na fiksiranje ostalih parametara modela, volatilnost ima najveći utjecaj na cijenu opcije i preciznost modela. Također, analiziraju se pojave poput "smiješka" implicirane volatilnosti. Usprkos svojim ograničenjima, model može biti precizan i za američke opcije koje ne isplaćuju dividende. Analiza je izvršena na opcijama za dionice Mete.
Abstract (english)
Options are financial derivatives based on stocks, underpinned by numerous methods for determining their fair value. These models can be either time-continuous or discrete. The Black-Scholes model is one of the continuous models used for this purpose. The aim of this study is to determine the price of an option using available parameters and data, and then to compare it with actual market prices. Using historical volatility as a model parameter in certain cases proves to be a sufficient estimate from which we can obtain precise results. It turns out that the model is more precise for "in the money" options compared to "out of the money" options. The greatest challenge when determining option prices is forecasting future volatility. Given that other model parameters are fixed, volatility has the greatest impact on the option price and the accuracy of the model. Additionally, phenomena such as implied volatility "smile" are analyzed. Despite its limitations, the model can be accurate even for American options that do not pay dividends. The analysis is carried out on Meta stock options.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:168:743021
Study programmeTitle: Computing
Study programme type: university
Study level: undergraduate
Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva (sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva)
Type of resourceText
File originBorn digital
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Created on2023-10-11 10:35:12