20.500.12556/DKUM-15070 BLACK-SCHOLESOV MODEL VREDNOTENJA OPCIJ BLACK-SCHOLES MODEL FOR EVALUATION OF OPTIONS V diplomski nalogi obravnavam Black-Scholesov model vrednotenja opcij, ki sta ga leta 1973 razvila Fisher Black in Myron Scholes. Black-Scholesov model je primeren za vrednotenje več vrst opcij, vendar pa v praksi prihaja do velikih razhajanj med vrednostjo opcije izračunano po Black-Scholesovem modelu in tržno ceno opcije. To razhajanje je že vrsto let podlaga raziskav, v katere se vključujejo tudi matematiki in fiziki. S stališča popularizacije fizike je predvsem zanimiva predpostavka modela, da je gibanje vrednosti delnic slučajen proces podoben difuziji, tako da lahko Black-Scholesovo enačbo rešimo po analogiji z difuzijsko enačbo. This graduation thesis discuss the Black-Scholes options valuation model that was developed in 1973 by Fisher Black and Myron Scholes. Black-Scholes model is suitable for evaluating the several types of options, but in practice there are major differences between the value of options calculated using the Black-Scholes model and the options market price. This discrepancy is the basis for many years of research, in which also mathematics and physics are included. Especially interesting from the perspective of popularization of physics, is hypothesis of the model, that the evolution of the value of shares is a random process similar to diffusion, so that the Black-Scholes equation is solved by analogy with the diffusion equation. Brownovo gibanje Stohastični procesi Wienerjev proces opcije izvedeni finančni instrumenti Black-Scholesov model nestanovitnost difuzija Mertonov model difuzije s skoki. Brownian motion Stochastic processes Wiener process options derivatives Black-Scholes model volatility diffusion Merton's jump-diffusion model. true true false [D. Najvirt] Slovenski jezik Angleški jezik Diplomsko delo 2010-08-18 23:03:31 2010-11-11 19:01:16 2022-04-12 22:33:14 2023-12-18 03:29:34 2010 0 Maribor 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 53(043.2) 17858824 URN:SI:UM:DK:NKARGTJX UNI_Najvirt_Damir_2010.pdf UNI_Najvirt_Damir_2010.pdf 1 850DAB3EF116B97BE02BD57BAD12D533 94d46208f831ef8bcef6238bb5afde533933f2626ff76615e1d7cf882a9a53ca 4f0ff9eb-7c04-11eb-bb7a-00155d0001ca 20.500.12556/dkum/7dd95f9d-b130-49d8-a9a6-b052a742dd57 https://dk.um.si/Dokument.php?lang=slv&id=16416 Fakulteta za naravoslovje in matematiko 0 0 0