{"?xml":{"@version":"1.0"},"edm:RDF":{"@xmlns:dc":"http://purl.org/dc/elements/1.1/","@xmlns:edm":"http://www.europeana.eu/schemas/edm/","@xmlns:wgs84_pos":"http://www.w3.org/2003/01/geo/wgs84_pos","@xmlns:foaf":"http://xmlns.com/foaf/0.1/","@xmlns:rdaGr2":"http://rdvocab.info/ElementsGr2","@xmlns:oai":"http://www.openarchives.org/OAI/2.0/","@xmlns:owl":"http://www.w3.org/2002/07/owl#","@xmlns:rdf":"http://www.w3.org/1999/02/22-rdf-syntax-ns#","@xmlns:ore":"http://www.openarchives.org/ore/terms/","@xmlns:skos":"http://www.w3.org/2004/02/skos/core#","@xmlns:dcterms":"http://purl.org/dc/terms/","edm:WebResource":[{"@rdf:about":"http://www.dlib.si/stream/URN:NBN:SI:doc-XN6K28V5/e5-825cd78a40566d7bb9-a--0c68e4ef323/PDF","dcterms:extent":"440 KB"},{"@rdf:about":"http://www.dlib.si/stream/URN:NBN:SI:doc-XN6K28V5/f35e1a92-b148-4e90-baef-f46137b0444e/TEXT","dcterms:extent":"39 KB"}],"edm:TimeSpan":{"@rdf:about":"2014-2024","edm:begin":{"@xml:lang":"en","#text":"2014"},"edm:end":{"@xml:lang":"en","#text":"2024"}},"edm:ProvidedCHO":{"@rdf:about":"URN:NBN:SI:doc-XN6K28V5","dcterms:isPartOf":[{"@rdf:resource":"https://www.dlib.si/details/URN:NBN:SI:spr-OE00UKYR"},{"@xml:lang":"sl","#text":"Matrika"}],"dcterms:issued":"2014","dc:creator":"Sinani, Ayrton","dc:format":[{"@xml:lang":"sl","#text":"številka:1"},{"@xml:lang":"sl","#text":"letnik:1"},{"@xml:lang":"sl","#text":"15 str."}],"dc:identifier":["COBISSID_HOST:17127513","ISSN:2385-8567","URN:URN:NBN:SI:doc-XN6K28V5"],"dc:language":"sl","dc:publisher":{"@xml:lang":"sl","#text":"Založba Fakultete za matematiko in fiziko Univerze v Ljubljani"},"dc:subject":[{"@xml:lang":"sl","#text":"kalibracija"},{"@xml:lang":"sl","#text":"matematična statistika"},{"@xml:lang":"sl","#text":"statistični testi"}],"dcterms:temporal":{"@rdf:resource":"2014-2024"},"dc:title":{"@xml:lang":"sl","#text":"Uporaba statističnih testov za kalibracijo parametrov v Black-Scholesovem modelu|"},"dc:description":[{"@xml:lang":"sl","#text":"We present a statistical method for calibrating the parameters of the Black-Scholes asset price dynamics model. We used statistical tests to estimate the two parameters of the Black-Scholes model: the drift coefficient and the volatility. The effects of these estimates on the option pricing problem were investigated. Numerical experiments involving synthetic and real data were presented. The real data considered were the daily closing values of the S & P 500 index and the associated European call and put option prices in the year 2013"},{"@xml:lang":"sl","#text":"V članku je predstavljena statistična metoda za kalibracijo parametrov v Black-Scholesovem modelu. Na podlagi empiričnih podatkov želimo oceniti v kolikšni meri je Black-Scholesov model primeren za vrednotenje evropskih opcij. Model je odvisen od dveh parametrov, ki sta v praksi neznana. To sta upanje (ali koeficient zdrsa) in volatilnost. Parametra ocenimo s pomočjo statističnih testov in analiziramo, če lahko na tovrsten način določimo ceno evropskih opcij. Pomagamo si s Student-t testom za ocenjevanje upanja in ?$\\chi^2$? testom za ocenjevanje volatilnosti. Analiza je bila opravljena na dva načina. Najprej smo metodo uporabili na sintetičnih podatkih, ki smo jih sintetizirali v R-ju. Potem pa na pravih podatkih (tj. na indeksu S & P 500 v letu 2013). Obravnavali smo tudi možne izboljšave samega modela"}],"edm:type":"TEXT","dc:type":[{"@xml:lang":"sl","#text":"znanstveno časopisje"},{"@xml:lang":"en","#text":"journals"},{"@rdf:resource":"http://www.wikidata.org/entity/Q361785"}]},"ore:Aggregation":{"@rdf:about":"http://www.dlib.si/?URN=URN:NBN:SI:doc-XN6K28V5","edm:aggregatedCHO":{"@rdf:resource":"URN:NBN:SI:doc-XN6K28V5"},"edm:isShownBy":{"@rdf:resource":"http://www.dlib.si/stream/URN:NBN:SI:doc-XN6K28V5/e5-825cd78a40566d7bb9-a--0c68e4ef323/PDF"},"edm:rights":{"@rdf:resource":"http://rightsstatements.org/vocab/InC/1.0/"},"edm:provider":"Slovenian National E-content Aggregator","edm:dataProvider":{"@xml:lang":"en","#text":"National and University Library of Slovenia"},"edm:object":{"@rdf:resource":"http://www.dlib.si/streamdb/URN:NBN:SI:doc-XN6K28V5/maxi/edm"},"edm:isShownAt":{"@rdf:resource":"http://www.dlib.si/details/URN:NBN:SI:doc-XN6K28V5"}}}}