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Oceňování finančních derivátů

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  • Michal Tomek
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    Abstract

    Pr�ce popisuje z�kladn� způsoby oceňov�n� odvozen�ch cenn�ch pap�rů (deriv�tů). V prvn� kapitole je pops�n předpoklad nemožnosti arbitr�že. D�le je zde uvedena z�kladn� terminologie časov� struktury �rokov�ch měr. Zaj�mav�m prezentovan�m v�sledkem je tvrzen�, že pokud je struktura �rokov�ch měr deterministick�, pak současn� v�nosov� křivka plně popisuje strukturu �rokov�ch měr v�budoucnosti. V druh� kapitole je uk�z�no, že pokud je struktura �rokov�ch měr deterministick� a pokud neuvažujeme vliv syst�mu z�loh, je forwardov� cena rovna futuritn� ceně. D�le jsou zm�něny z�kladn� koncepty oceňov�n� futuritn�ch kontraktů. V kapitole 3 jsou uvedeny modely trhu. V Blackově-Scholesově modelu (se spojit�mi koeficienty) je uk�z�n postup odvozen� Blackovy-Scholesovy diferenci�ln� rovnice a BlackovyScholesovy formule pomoc� Feynmanova-Kacova teor�mu. Kapitola 4 ukazuje možnosti použit� Blackovy-Scholesovy formule při oceňov�n� evropsk� opce na akcii se zn�mou dividendou, resp. se zn�m�m dividendov�m v�nosem. D�le je uvedeno oceňov�n� evropsk� futuritn� opce. Posledn� kapitola obsahuje numerickou studii pro akciov� trh ČR.

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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/43
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    Bibliographic Info

    Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

    Volume (Year): 4 (1997)
    Issue (Month): 6 ()
    Pages:

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    Handle: RePEc:czx:journl:v:4:y:1997:i:6:id:43

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