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Die Optionspreisformel Von Black Und Scholes: Anwendungsmöglichkeiten Und Grenzen

Die Optionspreisformel Von Black Und Scholes: Anwendungsmöglichkeiten Und Grenzen

          
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About the Book

Die jüngste Entwicklung an den internationalen Kapitalmärkten ist gekennzeichnet durch liberalisierung und Deregulierung dieser Märkte, die zunehmende Verbrie- fung und Fungibilisierung von Forderungs-und Beteiligungsrechten sowie die Globa- lisierung des Wertpapierhandels. Diese Faktoren haben dazu geführt, daß sich die Transaktionsvolumina erhöhten, die Volatilität der Preise zunahm und damit die Risiken stiegen. Zur Absicherung gegen diese Risiken wurden vor allem in den USA entsprechende Instrumente entwickelt und zwar in Form von Options und Futures, die an speziell zu diesem Zweck geschaffenen Börsen gehandelt werden. Die Bedeu- tung von Options und Futures ist mittlerweile auch in Europa einer breiteren, am wirt- schaftlichen Geschehen interessierten Offentlichkeit bewußt geworden. Damit ist auch die Frage nach der Bewertung von Options und Futures in den Vordergrund gerückt. Die Formel von Block/Schales, Anfang der 70er Jahre entwickelt, gehört unter den Preisfindungsmodellen zu den am meisten verbreiteten Methoden, um einen theoretischen Preis für Optionen zu ermitteln. Der Beitrag der vorliegenden Arbeit liegt darin, daß das komplexe Modell von Block/ Schales verständlich aufgeschlüsselt wird und somit den Zugang fürStudenten und Praktiker erleichtert. Beispielrechnungen und Vergleiche zwischen den Block/ Schales-Werten und den tatsächlichen Preisen sollen die Verbindung von der Theorie zur Praxis darstellen. Daß die Methode von Block/Schales trotz ihres hohen Bekannt- heitsgrades bis heute in der Praxis, zumindest im deutschsprachigen Raum, nicht die erhoffte Anwendung gefunden hat, könnte sich mit der geplanten Einführung der Deutschen Terminbörse ändern und damit Ausgangspunkt für eine neue Diskussion sem. Dr. Rolf-E.


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Product Details
  • ISBN-13: 9783409147835
  • Publisher: Gabler Verlag
  • Publisher Imprint: Gabler Verlag
  • Edition: 1988 ed.
  • Language: German
  • Returnable: N
  • Spine Width: 6 mm
  • Weight: 140 gr
  • ISBN-10: 3409147837
  • Publisher Date: 01 Jan 1988
  • Binding: Paperback
  • Height: 210 mm
  • No of Pages: 91
  • Series Title: Oikos Studien Zur Ökonomie
  • Sub Title: Anwendungsmöglichkeiten Und Grenzen
  • Width: 148 mm


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Die Optionspreisformel Von Black Und Scholes: Anwendungsmöglichkeiten Und Grenzen
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