03248ntm a22005057i 4500 000716993 CZ-PrVSE 20240824093620.0 m d cr n|||||||||| 240824s2024 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Fekeč, Radoslav ISIS:151352 dis Empirická analýza modelů podmíněné volatility, šikmosti a kurtózy v oceňování opcí eng Empirical Analysis of Conditional Volatility, Skewness and Kurtosis Models in Option Pricing / Radoslav Fekeč 2024 ?? stran : digital, PDF soubor Vedoucí práce: Michal Černý Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2024 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2024 Thesis aims to demonstrate the significant impact of volatility modeling on option pricing using the Black-Scholes equation, specifically its extension to the third and fourth moments as provided by Corrado and Su (1996). This extension adapts the Black-Scholes formula to account for non-normal skewness and kurtosis. The primary objectives are to apply GARCH models to capture time-varying conditional skewness and kurtosis, as discussed by León et al.(2005). These models were applied to daily returns of exchange rates to evaluate their effectiveness in capturing volatility dynamics. The impact of these models on option pricing was assessed by integrating them into the Black-Scholes framework for Forex options. The results indicate that specifications of time-varying skewness and kurtosis outperform those with constant third and fourth moments in terms of in-sample predictive power of conditional variances. Additionally, it was found that the modified Black-Scholes model outperforms the classical Black-Scholes model in out-of-sample performance. The significance of conditional skewness and kurtosis was also evident in option pricing, where the Black-Scholes models demonstrated improved pricing performance. Způsob přístupu: Internet ekonometrie a operační výzkum [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Volatility Black Scholes formula Garch models Option pricing Černý, Michal mzk2005275013 ths Tomanová, Petra ISIS:85567 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/88551/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/88551 Hlavní práce https://insis.vse.cz/zp/88551/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/88551/posudek/oponent/83910 Oponentura https://insis.vse.cz/zp/88551/podrobnosti dc:identifier NEPOSILAT VSKP vse88551 240823 88551