Aplikace metod oceňování vícefaktorových opcí

Abstract

Exotic options are financial derivatives, which financial markets play an ever greater part. Special type of exotic options are multi-factor options, which pay-off function is dependented on two or more risk underlying assets. The trend is shift from plain vanilla options to multi-factor options, because they are able to give subjects financial markets far better security. The aim of this thesis is characteristic basic type multi-factor options, describe valuation methods multi-factor options and set a premium theses options. In the application part, it is calculated the American basket call and basket put options value with the help of the two-factor binomial model and is examine the influence of particular types on the option value. Consequently, it is calculated the European basket call and basket put options value with the help of the simulation Monte Carlo.