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Exotische Optionen und ihre Bewertung

Exotische Optionen und ihre Bewertung


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About the Book

Inhaltsangabe: Einleitung: Exotische Optionen haben sich mittlerweile auf dem deutschen Markt fest etabliert, nur leider findet man nicht genügend deutschsprachige Literatur über dieses wirklich spannende Thema. Diese Arbeit soll einen umfangreichen Einblick in die Welt der Exotischen Optionen vermitteln. Das erste Kapitel stellt die Grundidee der Plain Vanilla Option dar. Diese Grundidee basiert auf dem Gedanken wie der Kurs einer Aktie in der Zukunft verlaufen sollte. Dieser Kursverlauf kann durch bestimmte Berechnungsmethoden möglichst genau dargestellt werden. Das zweite Kapitel wird durch die Black-Scholes-Formel bestimmt. Angefangen von der kompletten Herleitung der Black-Scholes-Formel bis zu der Bestimmung von Delta, Gamma, Rho, Theta und Vega. Ebenso wird die Möglichkeit aufgezeigt Optionen über die Put-Call-Parität zu bewerten. Dies wird an Fallbeispielen verdeutlicht. Das dritte Kapitel gibt umfangreichen Einblick in die Welt des binomialen Optionspreismodells. Das vierte Kapitel gibt einen Überblick in die verschiedenen Arten von Exotischen Optionen im Devisen - und Aktienmanagement. Es werden 15 verschiedene Exotische Optionen vorgestellt und an Beispielen verdeutlicht. Das fünfte Kapitel ist der Kern dieser Arbeit. Er stellt eine Auswahl verschiedener Exotischer Optionen dar, welche dort bewertet werden, wobei die Formel in verständlicher Weise hergeleitet wird. Um die Grundidee der Optionspreisbewertung von Exotischen Optionen zu verstehen ist es sinnvoll deren einzelnen Grundbausteine aufzuzeigen und zu verstehen. Die einzelnen Abschnitte werden mit Beispielrechnungen verdeutlicht. Das sechste Kapitel beschreibt den Lebensweg einer Chooser Option, sowie das Delta und das Delta - Hedging einer Chooser Option. Inhaltsverzeichnis: Inhaltsverzeichnis: Vorwort4 1.Einleitung5 1.0Bewertung von „Plain Vanilla" Optionen6 1.1Kursverlauf einer Aktie6 1.1.1Stochastischer Prozess8 1.1.2Die Markov-Eigenschaft8 1.1.3Grundidee für, den zukünftigen Kursv


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Product Details
  • ISBN-13: 9783838643281
  • Publisher: Diplom.de
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 8 mm
  • Width: 148 mm
  • ISBN-10: 3838643283
  • Publisher Date: 16 Jul 2001
  • Height: 210 mm
  • No of Pages: 132
  • Series Title: German
  • Weight: 231 gr


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