0437675 20240103205342.720150106235959.9 000350605800103 9 s. P cav_un_epca*0437674978-80-248-3631-7807-815OstravaVŠB-Technická univerzita Ostrava2014ČulíkMiroslav BS formula German option market illiquid option implied parameters option valuation cav_un_auth*0312254 Ekonometrie Department of Econometrics E E 40 Tichý Tomáš UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0254103 Ekonometrie Department of Econometrics E E Department of Econometrics 40 Kopa Miloš UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0312255 20 Vitali S. IT http://library.utia.cas.cz/separaty/2014/E/kopa-0437675.pdf cav_un_auth*0292622 GA13-25911S GA ČR CZ Detecting the fair, ie. no-arbitrage, price of an option is a very interesting and challenging task of quantitative finance. It results mostly from the fact that the option payoff is nonlinear and the price can be very sensitive to the changes of underlying factors (especially ATM options). From the other point of view, ATM vanilla options are often traded and liquid, while deep ITM and OTM options are mostly illiquid and it is difficult to estimate the model parameters. Another issue is how to obtain the market assumptions about riskless rate relevant for the option maturity and the future expected dividends. In this paper we focus on a particular problem of extracting parameters to value options on dividend paying stocks via BS model using real data from German option market. cav_un_auth*0311671 Řízení a modelování finančních rizik 08.09.2014-09.09.2014 Ostrava CZ BB 2015 3 PR RVO:67985556 http://hdl.handle.net/11104/0241899 cav_un_auth*0295947 Vysoká škola báňská - Technická univerzita Ostrava VŠB CZ cav_un_auth*0311672 University of Bergamo UB IT S 2014 000350605800103 WOS cav_un_epca*0437674 Proceedings of Managing and Modelling of Financial Risks 978-80-248-3631-7 807 815 Proceedings of Managing and Modelling of Financial Risks Ostrava VŠB-Technická univerzita Ostrava 2014 Čulík Miroslav 340