02611ntm a22005297i 4500 000663863 CZ-PrVSE 20200202100126.0 m d cr n|||||||||| 200202s2020 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Karpišová, Iveta ISIS:119510 dis Porovnanie modelov pre oceňovanie warrantov eng Comparison of warrant pricing models / Iveta Karpišová 2020 ?? stran : digital, PDF soubor Vedoucí práce: Jiří Witzany Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby The theme of this master’s thesis is warrant pricing methods. Four models will be presented, the benchmark Black-Scholes model originally developed for option pricing, the diluted version, the Galai-Schneller model and the Ukhov model implementing the firm volatility. Fourteen warrants quoted on the Hong Kong Stock Exchange are priced in the practical part. Appropriate risk-free rate and volatility measures are discussed. In the empirical part of the work results of the pricing models are presented. Author used three volatility estimation methods, the standard equal weighted, GARCH and implied volatility. The best results were given by the combination of the Galai-Schneller model and the implied volatility. The Black-Scholes model intended for option valuation performed the worst. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas warrant Black Scholes Schneller Ukhov GARCH Galai implied volatility Witzany, Jiří, 1966- vse2007429830 ths Kravtsov, Oleg ISIS:122401 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/69418/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/69418 Hlavní práce https://insis.vse.cz/zp/69418/podrobnosti dc:identifier NEPOSILAT VSKP vse69418 200129 69418