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Zum Preiszusammenhang zwischen Kassa und Futuresmrkten

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Product Details

Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783790809022
Condition
New
Product Description

Das Buch beschftigt sich mit dem Zusammenhang zwischen Preisen auf Kassa- und Futuresmrkten. Hierzu wird ein dynamisches Modell des optimalen Verhaltens von Arbitrageuren unter Bercksichtigung von Transaktionskosten entwickelt. In diesem Ansatz wird, anders als in vorhandenen Modellen, bercksichtigt, da Arbitrageure an organisierten Finanzmrkten eine vorzeitige Glattstellungsoption besitzen. Anhand von innertglichen Daten zum Deutschen Aktienindex (DAX) und DAX-Futures wird der Einflu der Glattstellungsoption auf das Preisverhltnis zwischen Kassa- und Futuresmarkt berprft.

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