02982ntm a22004937i 4500 000716451 CZ-PrVSE 20240824093620.0 m d cr n|||||||||| 240824s2024 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Castro Ortegate, Diana Catherine ISIS:172425 dis IMPACT OF EXTREME EVENTS ON THE ACCURACY OF MONTE CARLO METHODS IN ESTIMATING CRYPTOCURRENCY OPTIONS eng Monte Carlo method for evaluating cryptocurrency options / Diana Catherine Castro Ortegate 2024 ?? stran : digital, PDF soubor Vedoucí práce: Adam Čabla Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2024 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2024 This thesis explores the implementation and effectiveness of Monte Carlo simulations to model future Bitcoin (BTC) option prices under both normal and extreme market conditions. The study employs various simulation approaches, including historical daily returns, Geometric Brownian Motion (GBM), and a modified GBM with dynamic drift. By analysing the impact of extreme events on the accuracy of these models, the research aims to provide a nuanced understanding of Bitcoin price dynamics and their implications for financial modelling. The results indicate that while incorporating dynamic drift into GBM improves the accuracy of simulated option prices, significant discrepancies remain due to the heavy-tailed nature of Bitcoin returns and the reliance on historical volatility. The study underscores the need for more sophisticated models to better capture the full scope of Bitcoin price movements, suggesting future research directions in financial modelling and option pricing Způsob přístupu: Internet data analysis and modeling [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Financial Modeling Monte Carlo Simulation Extreme Events Čabla, Adam, 1985- vse2015897119 ths Helman, Karel xx0260953 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/84489/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/84489 Hlavní práce https://insis.vse.cz/zp/84489/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/84489/posudek/oponent/83915 Oponentura https://insis.vse.cz/zp/84489/podrobnosti dc:identifier NEPOSILAT VSKP vse84489 240822 84489