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master's thesis
Hestonov model
Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2020. urn:nbn:hr:126:645193
Trstenjak, Zlatko
Josip Juraj Strossmayer University of Osijek
Department of Mathematics
Chair of Pure Mathematics and Mathematics Teaching
Probability, Mathematical Statistics and Data Science Research Group

Institutional repository: Repository of School of Applied Mathematics and Computer Science

Cite this document

Trstenjak, Z. (2020). Hestonov model (Master's thesis). Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics. Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:645193

Trstenjak, Zlatko. "Hestonov model." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2020. https://urn.nsk.hr/urn:nbn:hr:126:645193

Trstenjak, Zlatko. "Hestonov model." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2020. https://urn.nsk.hr/urn:nbn:hr:126:645193

Trstenjak, Z. (2020). 'Hestonov model', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 05 September 2024, https://urn.nsk.hr/urn:nbn:hr:126:645193

Trstenjak Z. Hestonov model [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2020 [cited 2024 September 05] Available at: https://urn.nsk.hr/urn:nbn:hr:126:645193

Z. Trstenjak, "Hestonov model", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:126:645193

Metadata
TitleHestonov model
Title (english)Heston Model
AuthorZlatko Trstenjak
MentorNenad Šuvak (mentor)
Committee memberMirta Benšić (predsjednik povjerenstva)
Committee memberNenad Šuvak (član povjerenstva)
Committee memberDanijel Grahovac (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
Department of Mathematics
(Chair of Pure Mathematics and Mathematics Teaching)
(Probability, Mathematical Statistics and Data Science Research Group)
Osijek
Defense date and country2020-09-25, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Financial and Business Mathematics
Abstract
Tema ovog rada je modeliranje cijene dionica Hestonovim modelom te određivanje poštene premije za Europske opcije. U prvom dijelu rada predstavljena je obrađena je osnovna teorija za modeliranje cijene dionica te je predstavljen Black-Scholes-Mertonov model. U drugom dijelu rada prikazana je potreba za modelima stohastičke volatilnosti te je posebno obrađen Hestonov model. Posljednji dio rada sastoji se od numeričke implementacije rezultata iz prethodnih dijelova, uključujući vrednovanje premija opcija pomoću karakterističnih funkcija te Monte Carlo metodom.
Abstract (english)
The theme of this thesis is modeling stock market prices using Heston model and determining the fair price for European options. In the first part of this thesis we go through the basic theory behind stock price modeling and introduce the Black-Scholes-Merton model. In the second part of this thesis present the need for stochastic volatility models and define the Heston model. The last part of this thesis is dedicated to numerical implementation of results from previous part, including evaluating option prices using characteristic functions and Monte Carlo method.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:645193
Study programmeTitle: Mathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics
Course: Financial and Statistical Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2020-10-02 07:21:31