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dc.contributor.authorGapko, Petr
dc.date.accessioned2012-02-06T06:21:26Z
dc.date.available2012-02-06T06:21:26Z
dc.date.issued2010
dc.identifier.citationEkonomická revue. 2010, roč. 13, č. 1, s. 29-35 : il.cs
dc.identifier.issn1212-3951cs
dc.identifier.urihttp://hdl.handle.net/10084/90107
dc.format.extent649078 bytescs
dc.format.mimetypeapplication/pdfcs
dc.language.isocscs
dc.publisherVysoká škola báňská - Technická univerzita Ostravacs
dc.relation.ispartofseriesEkonomická revuecs
dc.relation.urihttp://dx.doi.org/10.7327/cerei.2010.03.03
dc.rights© Vysoká škola báňská - Technická univerzita Ostravacs
dc.titleOceňování obchodovaných warrantů pomocí NIG modelucs
dc.typearticlecs
dc.description.abstract-enIn the last two decades a special market with option contracts specialized for retail investors has developed in Europe. Warrant had become the right option contract with corresponding attributes. Substantial part of this work is pointed at possibilities and ways of warrant pricing. A useful innovation is the usage of pricing models based on alternative distributions. In our work, we use class of generalized hyperbolic distributions, which demonstrates good empirical performance in describing stock returns. The problem is that this class of distributions is mathematically rather more demanding but after handling these mathematical difficulties there is a new way opening for describing performance of stock behavior. In this work, we show the pricing of warrants with a ČEZ share as an underlying asset. The worse performance of the theoretically better hyperbolic model can be explained by a short memory of the Czech capital market.cs
dc.identifier.doi10.7327/cerei.2010.03.03
dc.rights.accessopenAccesscs
dc.type.versionpublishedVersioncs
dc.type.statusPeer-reviewedcs


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  • Ekonomická revue. 2010, roč. 13 [19]
  • OpenAIRE [1985]
    Kolekce určená pro sklízení infrastrukturou OpenAIRE; obsahuje otevřeně přístupné publikace, případně další publikace, které jsou výsledkem projektů rámcových programů Evropské komise (7. RP, H2020).

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