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master's thesis
Primjena fizikalnih koncepata i Monte Carlo metoda u procjeni financijskih opcija
Split: University of Split, University of Split, Faculty of science, 2021. urn:nbn:hr:166:283835
Pavičić Donkić, Mihaela
University of Split
Faculty of Science
Department of Physics

Institutional repository: Repository of Faculty of Science

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Pavičić Donkić, M. (2021). Primjena fizikalnih koncepata i Monte Carlo metoda u procjeni financijskih opcija (Master's thesis). Split: University of Split, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:166:283835

Pavičić Donkić, Mihaela. "Primjena fizikalnih koncepata i Monte Carlo metoda u procjeni financijskih opcija." Master's thesis, University of Split, Faculty of Science, 2021. https://urn.nsk.hr/urn:nbn:hr:166:283835

Pavičić Donkić, Mihaela. "Primjena fizikalnih koncepata i Monte Carlo metoda u procjeni financijskih opcija." Master's thesis, University of Split, Faculty of Science, 2021. https://urn.nsk.hr/urn:nbn:hr:166:283835

Pavičić Donkić, M. (2021). 'Primjena fizikalnih koncepata i Monte Carlo metoda u procjeni financijskih opcija', Master's thesis, University of Split, Faculty of Science, accessed 08 September 2024, https://urn.nsk.hr/urn:nbn:hr:166:283835

Pavičić Donkić M. Primjena fizikalnih koncepata i Monte Carlo metoda u procjeni financijskih opcija [Master's thesis]. Split: University of Split, Faculty of Science; 2021 [cited 2024 September 08] Available at: https://urn.nsk.hr/urn:nbn:hr:166:283835

M. Pavičić Donkić, "Primjena fizikalnih koncepata i Monte Carlo metoda u procjeni financijskih opcija", Master's thesis, University of Split, Faculty of Science, Split, 2021. Available at: https://urn.nsk.hr/urn:nbn:hr:166:283835

Metadata
TitlePrimjena fizikalnih koncepata i Monte Carlo metoda u procjeni financijskih opcija
Title (english)Application of Physical Concepts and Monte Carlo Methods for Pricing Financial Options
AuthorMihaela Pavičić Donkić
MentorPetar Stipanović (mentor)
Committee memberPetar Stipanović (predsjednik povjerenstva)
Committee memberIvana Weber (član povjerenstva)
Committee memberŽarko Kovač (član povjerenstva)
GranterUniversity of Split
Faculty of Science
(Department of Physics)
Split
Defense date and country2021-09-29, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Physics
Abstract
U radu se istražuju metode određivanja cijena različitih vrsta financijskih opcija u svrhu istraživanja primjene Brownovog gibanja i Monte Carlo simulacija u financijama. Cijene opcija ovise o cijenama dionica te je stoga potrebno simulirati njihovo kretanje. Usporedbom simulacije Brownovog gibanja s cijenama dionice, pokaže se da je Brownovo gibanje uistinu dobar kandidat za opisivanje kretanja cijena dionica. U svrhu određivanja cijena opcija koristi se nekoliko metoda, a neke od njih uključuju i promatranje kretanja cijena kao Brownovog gibanja. Metode se primjenjuju na primjeru te se uspoređuju cijene dobivene različitim metodama. Pokaže se da sve metode daju približno jednaku cijenu, te se stoga mogu koristiti u prikladnim slučajevima.
Abstract (english)
This thesis investigates the methods of evaluating the prices of different types of financial options with the purpose of researching the application of the Brownian motion and Monte Carlo simulations in finance. Option prices depend on stock prices, and it is therefore necessary to simulate their movement. Comparing the simulation of Brownian motion with stock prices, it turns out that Brownian motion is indeed a good candidate for describing stock price movements. For option pricing purposes, the thesis uses several methods, some of which include observing price movement as Brownian motion. The methods are applied on an example and the prices obtained by different methods are compared. It turns out that all methods give approximately the same price and can therefore be used in appropriate cases.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:166:283835
Study programmeTitle: Physics; specializations in: major in teaching, major in Astrophysics, major in Biophysics, major in Enviromental physics, major in Computational physics, major in Astrophysics and physics of elemental particles
Course: major in Computational physics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra fizike (magistar/magistra fizike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) icon
Created on2021-10-19 12:53:04