There is no institutionalised derivative market in Slovenia on which it would be possible to trade with standardized derivatives. Like in every modern market-oriented economy, there
klacKinlay. The Econometrics of Financial Markets
...to make the most economical use of computational resources. The most frequently used model for asset yield modelling is the discreet time independently and identically distributed (IDD) normal model (=-=Campbell et al., 1997-=-). It should be noted that in practice the actual yields of financial instruments are not normally distributed the distribution being rather leptokur2stic (Poon, Granger, 2002). In addition, recent em...
|915||Theory of rational option pricing - Merton|
|57||The Valuation of Option Contracts and a Test of Market Efficiency - Black, Scholes - 1972|
|31||Simple Binomial Processes as Diffusion Approximations in Financial Models - Nelson, Ramaswamy - 1990|
Basic Econometrics (3rd ed
... SIT / US$ exchange rate at time t P t – value of the SIT / US$ exchange rate at time t P t-1 – value of the SIT / US$ exchange rate at time t-1. Daily volatility is calculated as standard deviation (=-=Gujarati, 1995-=-): n 1 2 σ = ⋅∑ ( rt − μ) , (6) n −1 t= 1 μ – expected daily return r – daily return at time t. t In the mathematical model, the expected yield from financial asset and the volatility of yields are as...
|3||Arbitrage’, The New Palgrave: A - Dybvig, Ross - 1987|
|3||2002), “Forecasting Volatility in Financial Markets: A Review,” Journal of Economic Literature, forthcoming - Poon, Granger|
|1||vanilla put option 1 - Plain - 1995|
...ibuted the distribution being rather leptokur2stic (Poon, Granger, 2002). In addition, recent empiric research indicates that the correlation in volatility is stronger than the correlation in yields (=-=Aydemir, 1999-=-; French, Schwert and Stambaugh, 1987). The IDD model assumes that financial asset yields are independent in time and have a normal distribution as well as that the distribution of yields does not cha...
|1||Expected stock returns and volatility. Journal of Financial Economics 19(1), p. 3–30. Maximum price put option Average price put option No. of simulations Option payoff (SIT) Option payoff (SIT) Option payoff (SIT) 10.000 1,738208 3,659932 1,801500 20.000 - French, Schwert, et al. - 1987|
|1||Models for Investors in Real World Markets. Hoboken: John Wiley & Sons, 372 p. IÐVESTINIØ PRIEMONIØ VERTINIMAS BESIVYSTANÈIØ ÐALIØ KOMERCINIUOSE BANKUOSE: SLOVËNIJOS RINKOS PAVYZDYS Andraþ Grum Santrauka Besivystanèiose rinkose paprastai nëra standartizuo - Thompson, E, et al. - 2003|