Bc. Danica Slabejová

Master's thesis

Aplikace Monte Carlo metod v ekonomických modelech

Application of Monte Carlo methods in economic models
Abstract:
The subject of this work is the application of Monte Carlo method in economics. I am presenting the application of Monte Carlo method in appraisal of options for shares producing dividends, then I am presenting the application of this method in appraisal of options for shares not producing dividends and consequently with inconstant volatility. The second part of the work shows the application of Monte …more
Abstract:
Obsahom tejto prace je ukázať uplatnenie metódy Monte Carlo v ekonómii. V prvej časti sa venujem využitiu tejto metódy pri oceňovaní opcii na akciu s dividendou, potom bez dividendy a nakoniec s nekonštantnou volatilitou. V druhej časti sa venujem uplatneniu pri analýze citlivosti a neistoty. Ide hlavne o Monte Carlo filtrovanie, ktoré sa využíva i pri riešení dynamického modelu.
 

Keywords

metóda Monte Carlo oceňovanie finančných derivátov analýza citlivosti a neistoty Monte Carlo filtrovanie stabilita dynamického modelu
 
Language used: Slovak
Date on which the thesis was submitted / produced: 13. 1. 2010
Identifier: https://is.muni.cz/th/yjw67/

Thesis defence

  • Date of defence: 8. 2. 2010
  • Supervisor: Ing. Miroslav Hloušek, Ph.D.

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