Analysen von Volatilitätssmiles für Aktien-, Index- und Währungsoptionen
Home > Business & Economics > Industry & industrial studies > Analysen von Volatilitätssmiles für Aktien-, Index- und Währungsoptionen
Analysen von Volatilitätssmiles für Aktien-, Index- und Währungsoptionen

Analysen von Volatilitätssmiles für Aktien-, Index- und Währungsoptionen


     0     
5
4
3
2
1



International Edition


About the Book

Den Händlern auf Aktien- und Devisenmärkten stehen bei der Bewertung von Optionen unsichere zukünftige Zahlungsströme gegenüber, die eine grundlegende Fragestellung innerhalb der Finanzwirtschaft einnehmen. Die ersten Optionen wurden an der Chicago Board Options Exchange (CBOE) in den frühen siebziger Jahren gelistet. Zur Bewertung von europäischen Call- und Put-Optionen legen Fischer Black und Myron Scholes mit ihrem Modell im Jahre 1973 einen Meilenstein in der Finanzierungstheorie. An dieser Stelle ist auch auf die Mitwirkung von Robert C. Merton zu verweisen, der ebenfalls an der Ausarbeitung dieses Modells mitgewirkt hat, jedoch im selben Jahr eine eigenständige Publikation veröffentlichte. Aufgrund der relativ einfachen Gestaltung des Black-Scholes-Modells (BS), verbreitete sich ihre Anwendung zunehmend in der Theorie und Praxis. Seit der Einführung der ersten Optionen unterliegen die internationalen Finanz- und Kapitalmärkte einem starken Wandel, wobei in besonderen Maßen auf die Entwicklung der derivativen Hedgeinstrumente zu blicken ist. Durch die stetig wachsende Nachfrage der Unternehmen nach derivativen Instrumenten als Möglichkeit zur Risikoreduktion, wobei die Betrachtung unabhängig von den einzelnen Wirtschaftszweigen erfolgt, führen diese zu schnell wachsenden Anzahlen an verschiedenen derivativen Produkten. Dabei ist neben der Quantität der Produkte vor allem auf die Qualität abzustellen, die aufgrund ihrer zunehmenden komplexeren Struktur eine dementsprechend größere Herausforderung an die Bewertungsmodelle stellt. Das Optionspreismodell von Black-Scholes (Merton) zur Bewertung von europäischen Kauf- und Verkaufsoptionen über dividendenlose Aktien beinhaltet Einschränkungen, die aus den Modellannahmen resultieren. Diese führen zu verzerrter Preisbildung der Optionen, die anhand von zahlreichen empirischen Untersuchungen beobachtet wurden und deren Fokus dabei im besonderen Maße auf die implizite Volatilität gerichtet ist. Gemäß der Optionspreistheo
About the Author: Zeljko Komazec, Diplom Ökonom, Studium der Wirtschaftswissenschaften an der Universität Duisburg-Essen in Duisburg. Abschluss 2009 als Diplom Ökonom.


Best Sellers



Product Details
  • ISBN-13: 9783836682367
  • Publisher: Diplomica Verlag Gmbh
  • Sub Title: Von konstanter Volatilität zur impliziten Volatilität
  • ISBN-10: 3836682362
  • Publisher Date: 08 Oct 2009


Similar Products

Add Photo
Add Photo

Customer Reviews

REVIEWS      0     
Click Here To Be The First to Review this Product
Analysen von Volatilitätssmiles für Aktien-, Index- und Währungsoptionen
Diplomica Verlag Gmbh -
Analysen von Volatilitätssmiles für Aktien-, Index- und Währungsoptionen
Writing guidlines
We want to publish your review, so please:
  • keep your review on the product. Review's that defame author's character will be rejected.
  • Keep your review focused on the product.
  • Avoid writing about customer service. contact us instead if you have issue requiring immediate attention.
  • Refrain from mentioning competitors or the specific price you paid for the product.
  • Do not include any personally identifiable information, such as full names.

Analysen von Volatilitätssmiles für Aktien-, Index- und Währungsoptionen

Required fields are marked with *

Review Title*
Review
    Add Photo Add up to 6 photos
    Would you recommend this product to a friend?
    Tag this Book Read more
    Does your review contain spoilers?
    What type of reader best describes you?
    I agree to the terms & conditions
    You may receive emails regarding this submission. Any emails will include the ability to opt-out of future communications.

    CUSTOMER RATINGS AND REVIEWS AND QUESTIONS AND ANSWERS TERMS OF USE

    These Terms of Use govern your conduct associated with the Customer Ratings and Reviews and/or Questions and Answers service offered by Bookswagon (the "CRR Service").


    By submitting any content to Bookswagon, you guarantee that:
    • You are the sole author and owner of the intellectual property rights in the content;
    • All "moral rights" that you may have in such content have been voluntarily waived by you;
    • All content that you post is accurate;
    • You are at least 13 years old;
    • Use of the content you supply does not violate these Terms of Use and will not cause injury to any person or entity.
    You further agree that you may not submit any content:
    • That is known by you to be false, inaccurate or misleading;
    • That infringes any third party's copyright, patent, trademark, trade secret or other proprietary rights or rights of publicity or privacy;
    • That violates any law, statute, ordinance or regulation (including, but not limited to, those governing, consumer protection, unfair competition, anti-discrimination or false advertising);
    • That is, or may reasonably be considered to be, defamatory, libelous, hateful, racially or religiously biased or offensive, unlawfully threatening or unlawfully harassing to any individual, partnership or corporation;
    • For which you were compensated or granted any consideration by any unapproved third party;
    • That includes any information that references other websites, addresses, email addresses, contact information or phone numbers;
    • That contains any computer viruses, worms or other potentially damaging computer programs or files.
    You agree to indemnify and hold Bookswagon (and its officers, directors, agents, subsidiaries, joint ventures, employees and third-party service providers, including but not limited to Bazaarvoice, Inc.), harmless from all claims, demands, and damages (actual and consequential) of every kind and nature, known and unknown including reasonable attorneys' fees, arising out of a breach of your representations and warranties set forth above, or your violation of any law or the rights of a third party.


    For any content that you submit, you grant Bookswagon a perpetual, irrevocable, royalty-free, transferable right and license to use, copy, modify, delete in its entirety, adapt, publish, translate, create derivative works from and/or sell, transfer, and/or distribute such content and/or incorporate such content into any form, medium or technology throughout the world without compensation to you. Additionally,  Bookswagon may transfer or share any personal information that you submit with its third-party service providers, including but not limited to Bazaarvoice, Inc. in accordance with  Privacy Policy


    All content that you submit may be used at Bookswagon's sole discretion. Bookswagon reserves the right to change, condense, withhold publication, remove or delete any content on Bookswagon's website that Bookswagon deems, in its sole discretion, to violate the content guidelines or any other provision of these Terms of Use.  Bookswagon does not guarantee that you will have any recourse through Bookswagon to edit or delete any content you have submitted. Ratings and written comments are generally posted within two to four business days. However, Bookswagon reserves the right to remove or to refuse to post any submission to the extent authorized by law. You acknowledge that you, not Bookswagon, are responsible for the contents of your submission. None of the content that you submit shall be subject to any obligation of confidence on the part of Bookswagon, its agents, subsidiaries, affiliates, partners or third party service providers (including but not limited to Bazaarvoice, Inc.)and their respective directors, officers and employees.

    Accept

    New Arrivals



    Inspired by your browsing history


    Your review has been submitted!

    You've already reviewed this product!