| 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 | |
| dc.identifier.uri | http://hdl.handle.net/10084/90107 | |
| dc.format.extent | 649078 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | 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 | |
| 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 | |
| dc.type.version | publishedVersion | |
| dc.type.status | Peer-reviewed | |