Empirical evaluation of the accuracy and complexity of continuous-time pricing models – Bc. Marek Nemky
Bc. Marek Nemky
Master's thesis
Empirical evaluation of the accuracy and complexity of continuous-time pricing models
Empirical evaluation of the accuracy and complexity of continuous-time pricing models
Abstract:
Táto práca je zameraná na výkonnosť, presnosť a komplexnosť vybraných modelov na oceňovanie opcií. Vybrané modely boli Black-Scholes-Merton, Constant elasticity of Variance, Stochastic alpha-beta-rho a Heston model. Modely boli kalibrované na reálnych dátach opcií SPX v priebehu rokov 2021-2022 s pomocou funkcie priemerných štvorco-vých chýb na rôznych typoch kalibrácií. Bola posúdená výkonnosť a presnosť …moreAbstract:
This diploma thesis is focused on the performance, accuracy and complexity of selected option pricing models. The selected models were Black-Scholes-Merton, Constant elasticity of Variance, Stochastic alpha-beta-rho and Heston model. The models were calibrated on the real option data on SPX throughout 2021-2022 through the mean square error function on different calibration procedures. The performance …more
Language used: English
Date on which the thesis was submitted / produced: 12. 5. 2023
Identifier:
https://is.muni.cz/th/i1t5e/
Thesis defence
- Date of defence: 20. 6. 2023
- Supervisor: Ph.D. Axel Alejandro Araneda Barahona
- Reader: prof. Ing. Štefan Lyócsa, PhD.
Citation record
ISO 690-compliant citation record:
NEMKY, Marek. \textit{Empirical evaluation of the accuracy and complexity of continuous-time pricing models}. Online. Master's thesis. Brno: Masaryk University, Faculty of Economics and Administration. 2023. Available from: https://theses.cz/id/ihn0ym/.
Full text of thesis
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Published in Theses:- světu
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Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakultaMasaryk University
Faculty of Economics and AdministrationMaster programme / field:
Finance / Financial Markets, Institutions and Technologies
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