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master's thesis
Analiza osjetljivosti opcija
2023. urn:nbn:hr:126:947985
Bekavac, Rino
Josip Juraj Strossmayer University of Osijek
Department of Mathematics

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Bekavac, R. (2023). Analiza osjetljivosti opcija (Master's thesis). Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics. Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:947985

Bekavac, Rino. "Analiza osjetljivosti opcija." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2023. https://urn.nsk.hr/urn:nbn:hr:126:947985

Bekavac, Rino. "Analiza osjetljivosti opcija." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2023. https://urn.nsk.hr/urn:nbn:hr:126:947985

Bekavac, R. (2023). 'Analiza osjetljivosti opcija', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 19 November 2024, https://urn.nsk.hr/urn:nbn:hr:126:947985

Bekavac R. Analiza osjetljivosti opcija [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2023 [cited 2024 November 19] Available at: https://urn.nsk.hr/urn:nbn:hr:126:947985

R. Bekavac, "Analiza osjetljivosti opcija", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2023. Available at: https://urn.nsk.hr/urn:nbn:hr:126:947985

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Metadata
TitleAnaliza osjetljivosti opcija
Title (english)Options Sensitivity Analysis
AuthorRino Bekavac
MentorDanijel Grahovac (mentor)
Committee memberNenad Šuvak (predsjednik povjerenstva)
Committee memberDanijel Grahovac (član povjerenstva)
Committee memberIvan Papić (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
Department of Mathematics
Osijek
Defense date and country2023-06-12, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Other Mathematical Disciplines
Abstract
Najrašireniji matematički model za vrednovanje opcija je Black-Scholes-Mertonov model koji je nastao 1973. godine. Kroz godine ovaj model se pokazao najboljim za modeliranje i analizu opcija i osjetljivosti opcija unatoč svim svojim manama. Nakon BSM modela uvedeni su pojmovi opcijskih grka koji su derivacija BSM formule po zadanim varijablama. Grci su iznimno važni pri analizi opcija pogotovo pri procjeni rizika za svaku opciju. Na kraju rada su predstavljene neke napredne strategije trgovanja opcijama. Svaka strategija je objašnjena i grafički prikazana. Prikazani su i grci za svaku strategiju te preko njih objašnjeni rizici s kojima se susreće trgovac.
Abstract (english)
The most widely used mathematical model for options valuation is Black-Scholes-Merton model created in 1973. Through the years it has proven to be the best for modeling and option sensitivity analysis despite its flaws. After BSM model options greeks were introduced which are derivative of the BSM formula with respect to the given variables. Greeks are extremely important for options analysis especially when assessing risks. Lastly some advanced options trading strategies were introduced. Each strategy was explained and graphically presented. Greeks for each strategy were also shown and used to explain risks that every traded faces when trading.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:947985
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 on2023-06-13 07:16:11