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Jakub Rojček

Bachelor's thesis

Implied Volatility and Smile

Abstract:
In this work author speaks a little in generic about financial derivatives. Then he derives the famous Black-Scholes formula using less precise mathematical apparatus. Afterwards, he will analyze a few volatility models and their applications for creating volatility surface, which is the main goal of both theoreticians and practitioners. As we will see, the theory is yet very deep but unconsolidated …more
 

Keywords

Black-Scholes formula implied volatility surface imlplied volatility smile implied volatility
 
Language used: English
Date on which the thesis was submitted / produced: 4. 1. 2008
Identifier: http://www.vse.cz/vskp/eid/5049

Thesis defence

  • Date of defence: 24. 1. 2008
  • Supervisor: Jan Pígl

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http://www.vse.cz/vskp/eid/5049