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Optionsmärkte Und Risikoallokation: Eine Computergestützte Analyse

Optionsmärkte Und Risikoallokation: Eine Computergestützte Analyse

          
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About the Book

Die Grundlagen rationaler Optionsbewertung wurden durch die Arbeiten von Black/Scholes (1973), Merton (1973,1976) und Cox/Ross (1976) bereits in den siebziger Jahren gelegt. Die dabei erzielten Forschungsergebnisse sind trotz ihrer fundamentalen Bedeutung in gewisser Hinsicht tautologischer Natur. Dies hiingt darnit zusammen, daB die Bewertung auf Arbitrageiiberlegungen beruht. Der Wert eines letzten Endes redundanten Finanztitels wird aus den Kursen anderer Wertpa- piere abgeleitet; zu diesem Zweck wird ein Portfolio gebildet, das die Zahlungs- iiberschiisse aus der Option in allen moglichen Umweltzustanden dupliziert. Sornit wird ein Forschungsobjekt untersucht, das auf der Basis der getroffenen Annah- men keine okonomische Bedeutung haben kann. Die Einsicht in dieses Paradox on hat dazu gefiihrt, daB sich die Forschung ver- starkt mit der okonomischen Bedeutung von Optionsmlirkten auseinandersetzte. Unter wohlfahrtstheoretischen Gesichtspunkten lassen sich ffir die Existenz von Optionsmlirkten grundsatzlich zwei Griinde anfiihren: Zum eine wird der Wertpa- piermarkt durch den gleichzeitigen Handel von Basispapieren und Optionen auf diese Papiere vervollstiindigt; darnit besteht die Moglichkeit, daB die Einfiihrung von Optionsmlirkten zu einer Verbesserung der Risikoallokation beitragt (Ross (1976. Zum andem konnte der Options handel eine erhohte Informationseffizienz des Kapitalmarktes herbeifiihren, sofem er eine beschleunigte Verarbeitung kurs- relevanter Informationen bewirkt (Manne (1966), Black (1975. Beide Griinde konnen gegebenenfalls in Kombination mit Transaktionskosteniiberlegungen ge- sehen werden, die ffir sich allein genommen jedoch keinen plausiblen Beitrag zur Erkllirung der Existenz von Optionsmlirkten leisten. Unabhiingig davon ist deren okonomische Relevanz an die Voraussetzung gebunden, daB es sich bei Optionen gerade nicht urn redundante Finanztitel handelt.


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Product Details
  • ISBN-13: 9783790807042
  • Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
  • Binding: Paperback
  • Language: German
  • Returnable: Y
  • Spine Width: 16 mm
  • Weight: 417 gr
  • ISBN-10: 3790807044
  • Publisher Date: 03 Aug 1993
  • Height: 234 mm
  • No of Pages: 278
  • Series Title: Physica-Schriften Zur Betriebswirtschaft
  • Sub Title: Eine Computergestützte Analyse
  • Width: 156 mm


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Optionsmärkte Und Risikoallokation: Eine Computergestützte Analyse
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