Oceňování obchodovaných warrantů pomocí NIG modelu

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dc.contributor.author Gapko, Petr
dc.date.accessioned 2012-02-06T06:21:26Z
dc.date.available 2012-02-06T06:21:26Z
dc.date.issued 2010
dc.identifier.citation Ekonomická revue. 2010, roč. 13, č. 1, s. 29-35 : il. cs
dc.identifier.issn 1212-3951 cs
dc.identifier.uri http://hdl.handle.net/10084/90107
dc.format.extent 649078 bytes cs
dc.format.mimetype application/pdf cs
dc.language.iso cs cs
dc.publisher Vysoká škola báňská - Technická univerzita Ostrava cs
dc.relation.ispartofseries Ekonomická revue cs
dc.relation.uri http://dx.doi.org/10.7327/cerei.2010.03.03
dc.rights © Vysoká škola báňská - Technická univerzita Ostrava cs
dc.title Oceňování obchodovaných warrantů pomocí NIG modelu cs
dc.type article cs
dc.description.abstract-en In 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.doi 10.7327/cerei.2010.03.03
dc.rights.access openAccess cs
dc.type.version publishedVersion cs
dc.type.status Peer-reviewed cs

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