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Title:Wienerjev proces
Authors:ID Laznik, Eva (Author)
ID Marovt, Janko (Mentor) More about this mentor... New window
Files:.pdf UN_Laznik_Eva_2022.pdf (4,36 MB)
MD5: 128207BF7896550181A466154B87526B
 
Language:Slovenian
Work type:Bachelor thesis/paper
Typology:2.11 - Undergraduate Thesis
Organization:EPF - Faculty of Business and Economics
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, normalna porazdelitev, Brownovo gibanje, volatilnost, Wienerjev proces, Itôva lema
Place of publishing:[Maribor]
Publisher:. Laznik
Year of publishing:2022
PID:20.500.12556/DKUM-82192 New window
UDC:336.76
COBISS.SI-ID:125506051 New window
Publication date in DKUM:13.10.2022
Views:571
Downloads:74
Metadata:XML RDF-CHPDL DC-XML DC-RDF
Categories:EPF
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Licences

License:CC BY-ND 4.0, Creative Commons Attribution-NoDerivatives 4.0 International
Link:http://creativecommons.org/licenses/by-nd/4.0/
Description:Under the NoDerivatives Creative Commons license one can take a work released under this license and re-distribute it, but it cannot be shared with others in adapted form, and credit must be provided to the author.
Licensing start date:27.07.2022

Secondary language

Language:English
Title:Wiener process
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.
Keywords:derivatives, options, exchange, stocks, stochastic processes, normal distribution, Brownian motion, volatility, Wiener process, Itô's lemma


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