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Kurssprnge und der Wert deutscher Aktienoptionen

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Springer Nature
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9783824462810
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Product Description

Nach den Brsencrashs der jngsten Vergangenheit ist es naheliegend, bei der Modellierung von Aktienkursverlufen extreme Kursnderungen innerhalb einer kleinen Zeitspanne - sogenannte Kurssprnge - zu bercksichtigen. Dazu eignen sich insbesondere Sprung-Diffusionsprozesse, die zudem die empirisch zu beobachtende Spitzgipfligkeit und Schiefe von Renditeverteilungen beschreiben knnen. Michaela Beinert zeigt, da fr deutsche Aktien und deutsche Aktienindizes die Sprungkomponente konomisch und statistisch signifikant ist. Der Einflu des Kurssprungrisikos auf den Optionswert erweist sich dann als substantiell, wenn die relative Risikoaversion des reprsentativen Marktteilnehmers deutlich ber der bei einer logarithmischen Risikonutzenfunktion liegt.

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