Wienerjev proces

diplomsko delo

Eva Laznik (Author), Janko Marovt (Mentor)

Abstract

V zadnjih nekaj desetletjih so se svetovni finančni trgi sunkovito razcveteli na področju finančnih produktov, znanih kot izvedeni finančni instrumenti. Glavne vrste izvedenih finančnih instrumentov so nestandardizirane in standardizirane terminske pogodbe ter opcije, s katerimi se trguje na borzah po vsem svetu. V diplomskem delu smo največ pozornosti namenili opcijam in stohastičnim procesom. Različni modeli vrednotenja opcij izhajajo iz slučajnih procesov, imenovanih stohastični procesi. Wienerjev proces ali Brownovo gibanje je zvezni stohastični proces z zvezno slučajno spremenljivko, ki je osnova procesa, s katerim modeliramo gibanje cen delnic (geometrijsko Brownovo gibanje). Je temelj Itôve leme, ključnega procesa za določanje cen izvedenih finančnih instrumentov. Ti procesi so podlaga za razumevanje enačbe za določanje cen opcij, znane kot Black-Scholesova enačba, ki je predstavljala velik preboj v zgodovini ekonomije.

Keywords

izvedeni finančni instrumenti;opcije;borza;delnice;stohastični procesi;volatilnost;Brownovo gibanje;Itôwa lema;

Data

Language:	Slovenian
Year of publishing:	2022
Typology:	2.11 - Undergraduate Thesis
Organization:	UM EPF - Faculty of Economics and Business
Publisher:	E. Laznik
UDC:	336.76
COBISS:	125506051
Views:	36
Downloads:	14
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Wiener process
Secondary abstract:	In the last few decades, the world's financial markets have experienced an unprecedented boom that revolved around the development of new financial products known as derivatives. The major types of derivatives are futures, forwards, and options, which are traded on exchanges around the world. In our thesis, we have focused on options and stochastic processes. The different option pricing models are derived from random processes called stochastic processes. The Wiener process or Brownian motion is a continuous stochastic process with a continuous random variable, which is the basis of the process used to model the movement of share prices (geometric Brownian motion). It is the foundation of the Itô's lemma, a key process for derivatives pricing. These processes are the basis for understanding the option pricing equation known as the Black-Scholes equation, which represented a major breakthrough in the history of economics.
Secondary keywords:	derivatives;options;exchange;stocks;stochastic processes;normal distribution;Brownian motion;volatility;Wiener process;Itô's lemma;
Type (COBISS):	Bachelor thesis/paper
Thesis comment:	Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages:	IV, 64 str., 10 str. pril.
ID:	16011092