Narrow search
Showing 1 - 10 of 228
Cover Image
Srovnání volatility akciových indexu° PX a FTSE 100
Borovička, Adam - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 19 (2011) 2, pp. 66-88
Persistent link: https://www.econbiz.de/10009375532
Cover Image
Modelování cenových očekávání a analýza jejich vlivu na trh
Hron, Jiří - In: Politická ekonomie : teorie, modelování, aplikace 48 (2000) 2, pp. 183-200
Persistent link: https://www.econbiz.de/10001581915
Cover Image
On Estimation of Volatility of Financial Time Series for Pricing Derivatives
Černý, Michal - In: Acta Oeconomica Pragensia 2008 (2008) 4, pp. 12-21
Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often … estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a … suitable length of historical data to estimate contemporary volatility. The method is based on adaptation of a procedure used …
Persistent link: https://www.econbiz.de/10005036300
Cover Image
Platební neschopnost části českých podnik°u a možnosti jejího řešení
Ptáček, Jiří - 1993
Persistent link: https://www.econbiz.de/10000868592
Cover Image
Aplikace FIGARCH a EWMA modelu° na burzovní indexy PX a BUX
Štolc, Zdeněk - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 19 (2011) 4, pp. 25-38
Persistent link: https://www.econbiz.de/10009376296
Cover Image
Replication Methods in the Pricing and Hedging of Barrier Options
Tomáš, Tichý - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 7-8, pp. 305-324
This paper considers various options replication methods. Firstly, a specific type of barrier option, an up-and-out call, is considered. Other barrier options are briefly also described, and various types of barriers are considered. Secondly, a general definition of replication methods is...
Persistent link: https://www.econbiz.de/10008549672
Cover Image
Interest-Rate Swaps and Arbitrage
Málek, Jiøí - In: Czech Journal of Economics and Finance (Finance a uver) 51 (2001) 2, pp. 99-110
Three approaches toward the determination of fixed swap rates are presented in this article: a swap as a portfolio of bonds with a fixed and floating coupon, a swap as a portfolio of forwards, and a swap as the difference between the cap and the floor (zero-collar). Later in the paper, credit...
Persistent link: https://www.econbiz.de/10008549883
Cover Image
Hedging Strategies and Financial Risks
Zmeškal, Zdenìk - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 1-2, pp. 50-63
Hedging strategies represent basic instrument used toward eliminating financial risk. Increasing volatility of …
Persistent link: https://www.econbiz.de/10008495620
Cover Image
Investigating a thin-capitalization rule: An option-based analysis
Vlachý, Jan - In: Politická ekonomie 2008 (2008) 5, pp. 656-668
The Czech tax system is undergoing radical transformation. Among the many forthcoming changes, several features can be identified, which alter the structure of tax asymmetries. This paper uses an option-based model of direct taxation to examine a controversial new thin-capitalization rule,...
Persistent link: https://www.econbiz.de/10008754958
Cover Image
Examination of selected improvement approaches to Monte Carlo simulation in option pricing
Tichý, Tomáš - In: Politická ekonomie 2008 (2008) 6, pp. 772-794
In general, there exist many ways to detect the fair value of financial derivatives. However, each of them is suitable for different purposes. For example, when the payoff function is not very simple or the underlying process is too complex, the approach of Monte Carlo simulation can be useful....
Persistent link: https://www.econbiz.de/10008754960