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Optionsbewertung in Theorie und Praxis

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Springer Nature
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GTIN
9783834925435
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Product Description

Finanzoptionen werden von Kapitalmarktakteuren zu Absicherungs-, Spekulations- und Arbitragezwecken eingesetzt. Dem Black/Scholes-Modell kommt in der Finanzwirtschaft eine herausragende Bedeutung zu, da es sowohl zur Bewertung von Optionen als auch zur Berechnung der impliziten Volatilitt verwendet wird. Andreas Merk berprft die zentralen Annahmen des Modells und wertet Preisabweichungen aus, die sich zwischen dem Black/Scholes-Modell und den Transaktionsdaten fr die DAX-Option ergeben. Die statistische Auswertung ermglicht dem Leser eine Einschtzung, inwieweit das Black/Scholes-Modell zur Optionsbewertung geeignet ist.

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