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Title:
BLACK-SCHOLESOV MODEL VREDNOTENJA OPCIJ
Authors:
ID
Najvirt, Damir
(Author)
ID
Zidanšek, Aleksander
(Mentor)
More about this mentor...
Files:
UNI_Najvirt_Damir_2010.pdf
(1,26 MB)
MD5: 850DAB3EF116B97BE02BD57BAD12D533
PID:
20.500.12556/dkum/7dd95f9d-b130-49d8-a9a6-b052a742dd57
Language:
Slovenian
Work type:
Undergraduate thesis
Organization:
FNM - Faculty of Natural Sciences and Mathematics
Abstract:
V diplomski nalogi obravnavam 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 pa 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:
Brownovo gibanje
,
Stohastični procesi
,
Wienerjev proces
,
opcije
,
izvedeni finančni instrumenti
,
Black-Scholesov model
,
nestanovitnost
,
difuzija
,
Mertonov model difuzije s skoki.
Place of publishing:
Maribor
Publisher:
[D. Najvirt]
Year of publishing:
2010
PID:
20.500.12556/DKUM-15070
UDC:
53(043.2)
COBISS.SI-ID:
17858824
NUK URN:
URN:SI:UM:DK:NKARGTJX
Publication date in DKUM:
11.11.2010
Views:
4614
Downloads:
469
Metadata:
Categories:
FNM
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:
NAJVIRT, Damir, 2010,
BLACK-SCHOLESOV MODEL VREDNOTENJA OPCIJ
[online]. Bachelor’s thesis. Maribor : D. Najvirt. [Accessed 21 January 2025]. Retrieved from: https://dk.um.si/IzpisGradiva.php?lang=eng&id=15070
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Secondary language
Language:
English
Title:
BLACK-SCHOLES MODEL FOR EVALUATION OF OPTIONS
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.
Keywords:
Brownian motion
,
Stochastic processes
,
Wiener process
,
options
,
derivatives
,
Black-Scholes model
,
volatility
,
diffusion
,
Merton's jump-diffusion model.
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