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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 …more
Abstract:
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
 

Keywords

option pricing stochastic processes Backtesting large-data options
 
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.

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Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakulta
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