Black-Scholesov model vrednotenja opcij

diplomsko delo

Damir Najvirt (Author), Aleksander Zidanšek (Mentor)

Abstract

V diplomskem delu obravnavamo Black-Scholesov model vrednotenja opcij, ki sta ga leta 1973 razvila Fisher Black in Myron Scholes. Black-Scholesov model je primeren za vrednotenje več vrst opcij, vendar v praksi prihaja do velikih razhajanj med vrednostjo opcije, izračunano po Black-Scholesovem modelu, in tržno ceno opcije. To razhajanje je že vrsto let podlaga raziskav, v katere se vključujejo tudi matematiki in fiziki. S stališča popularizacije fizike je predvsem zanimiva predpostavka modela, da je gibanje vrednosti delnic slučajen proces, podoben difuziji, tako da lahko Black-Scholesovo enačbo rešimo po analogiji z difuzijsko enačbo.

Keywords

fizika;Brownovo gibanje;opcije;finančni instrumenti;nestanovitnost;difuzija;diplomska dela;

Data

Language:	Slovenian
Year of publishing:	2010
Source:	Maribor
Typology:	2.11 - Undergraduate Thesis
Organization:	UM FNM - Faculty of Natural Sciences and Mathematics
Publisher:	[D. Najvirt]
UDC:	53(043.2)
COBISS:	17858824
Views:	3391
Downloads:	384
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	BLACK-SCHOLES MODEL FOR EVALUATION OF OPTIONS
Secondary abstract:	This graduation thesis discuss the Black-Scholes options valuation model that was developed in 1973 by Fisher Black and Myron Scholes. Black-Scholes model is suitable for evaluating the several types of options, but in practice there are major differences between the value of options calculated using the Black-Scholes model and the options market price. This discrepancy is the basis for many years of research, in which also mathematics and physics are included. Especially interesting from the perspective of popularization of physics, is hypothesis of the model, that the evolution of the value of shares is a random process similar to diffusion, so that the Black-Scholes equation is solved by analogy with the diffusion equation.
Secondary keywords:	Brownian motion;Stochastic processes;Wiener process;options;derivatives;Black-Scholes model;volatility;diffusion;Merton's jump-diffusion model.;
URN:	URN:SI:UM:
Type (COBISS):	Undergraduate thesis
Thesis comment:	Univ. v Mariboru, Fak. za naravoslovje in matematiko, Oddelek za fiziko
Pages:	V, 51 f.
Keywords (UDC):	mathematics;natural sciences;naravoslovne vede;matematika;physics;fizika;
ID:	18774