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master's thesis
Hestonov model stohastičke volatilnosti
Zagreb: University of Zagreb, Faculty of Science, 2020. urn:nbn:hr:217:183182
Begić, Marija
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

Cite this document

Begić, M. (2020). Hestonov model stohastičke volatilnosti (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:183182

Begić, Marija. "Hestonov model stohastičke volatilnosti." Master's thesis, University of Zagreb, Faculty of Science, 2020. https://urn.nsk.hr/urn:nbn:hr:217:183182

Begić, Marija. "Hestonov model stohastičke volatilnosti." Master's thesis, University of Zagreb, Faculty of Science, 2020. https://urn.nsk.hr/urn:nbn:hr:217:183182

Begić, M. (2020). 'Hestonov model stohastičke volatilnosti', Master's thesis, University of Zagreb, Faculty of Science, accessed 26 December 2024, https://urn.nsk.hr/urn:nbn:hr:217:183182

Begić M. Hestonov model stohastičke volatilnosti [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2020 [cited 2024 December 26] Available at: https://urn.nsk.hr/urn:nbn:hr:217:183182

M. Begić, "Hestonov model stohastičke volatilnosti", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:217:183182

Metadata
TitleHestonov model stohastičke volatilnosti
Title (english)Heston's model of stochastic volatility
AuthorMarija Begić
MentorVanja Wagner (mentor)
Committee memberVanja Wagner (predsjednik povjerenstva)
Committee memberEduard Marušić-Paloka (član povjerenstva)
Committee memberTina Bosner (član povjerenstva)
Committee memberMladen Vuković (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2020-12-02, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Abstract
Hestonov model najpopularniji je model stohastičke volatilnosti za određivanje cijena opcija. Djelomično je za to zaslužna njegova zatvorena forma. Neki autori cijenu call opcije nazivaju poluzatvorenom zbog numeričke integracije koja je potrebna da bismo zadržali P1 i P2. No, Black-Scholesov model takoder zahtjeva numeričku integraciju, kako bi zadržao Φ(d1) i Φ(d2). U tom smislu, Hestonov model daje cijene call opcija koje nisu manje zatvorene od onih u Black-Scholesovom modelu. Razlika je u tome što programski jezici često imaju naviku koristiti standardnu normalnu distribuciju dok Hestonove vjerojatnosti nisu ugniježdene te ih se mora dograditi koristeći numeričku integraciju.
Abstract (english)
Heston model is the most popular model of stochastic volatility for determination option price. The reason for that is its closed form. Some authors may call the price of the call option semi-closed because of the numeric integration that is needed to keep P1 and P2. Black-Scholes model also demands numeric integration to keep Φ (d1) adn Φ (d2). In that sence, Heston model gives prices of call options that are not less closed than the ones in Black-Scholes model. The difference is that programming languages have the habit to use standard normal distribution while Hestons probabilities are not included and we have to include them by using numeric integration.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:217:183182
Study programmeTitle: Finance and Business 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 on2021-02-22 12:27:22