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master's thesis
Barijerne opcije
2020. urn:nbn:hr:126:320206
Zetović, Tina
Josip Juraj Strossmayer University of Osijek
Department of Mathematics
Chair of Pure Mathematics and Mathematics Teaching
Probability, Mathematical Statistics and Data Science Research Group

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Zetović, T. (2020). Barijerne opcije (Master's thesis). Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics. Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:320206

Zetović, Tina. "Barijerne opcije." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2020. https://urn.nsk.hr/urn:nbn:hr:126:320206

Zetović, Tina. "Barijerne opcije." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2020. https://urn.nsk.hr/urn:nbn:hr:126:320206

Zetović, T. (2020). 'Barijerne opcije', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 05 February 2025, https://urn.nsk.hr/urn:nbn:hr:126:320206

Zetović T. Barijerne opcije [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2020 [cited 2025 February 05] Available at: https://urn.nsk.hr/urn:nbn:hr:126:320206

T. Zetović, "Barijerne opcije", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:126:320206

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Metadata
TitleBarijerne opcije
Title (english)Barrier Options
AuthorTina Zetović
MentorNenad Šuvak (mentor)
Committee memberMirta Benšić (predsjednik povjerenstva)
Committee memberNenad Šuvak (član povjerenstva)
Committee memberDanijel Grahovac (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
Department of Mathematics
(Chair of Pure Mathematics and Mathematics Teaching)
(Probability, Mathematical Statistics and Data Science Research Group)
Osijek
Defense date and country2020-06-09, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Applied Mathematics and Mathematical Modeling
Abstract
Na početku rada definirane su i pojašnjene vanilla opcije tj. europska call (put) opcija. Geometrijsko Brownovo gibanje je model za kretanje cijena rizične financijske imovine. Taj je model opisan u drugom poglavlju rada. Nakon uvedenih osnovnih pojmova, potrebnih za rad, izvedena je Black Scholes Mertonova formula za nearbitražno vrednovanje vanilla opcija. Upravo je taj dio rada podloga za vrednovanje barijernih opcija u nastavku. U trećem poglavlju rada predstavljene su europske barijerne opcije, te su pojašnjene na konkretnim primjerima. U četvrtom poglavlju rada predstavljene su formule za njihovo nearbitražno vrednovanje. Kroz primjere uspoređene su cijene vanilla opcija s cijenama barijernih opcija. Na kraju rada kratko su objašnjene dvostruke barijerne opcije.
Abstract (english)
In the first part of this diploma thesis the Vanilla options are defined and explained. Geometric Brownian motion is model for a stock price and that model is described in the second part of paper. Necessary theoretical results and Black Scholes Merton formula for the price of the options are presented. That part is important for the price of the barrier options. In the third part of paper, barrier options are explained and some examples are presented. In the fourth part of paper, formulas for the prices of the barrier options are presented. Relation between prices of vanilla options and barrier options are observed. Finally, double barrier options are briefly explained.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:320206
Study programmeTitle: Mathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics
Course: Financial and Statistical Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2020-06-18 08:14:50