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Volatilität. Eine anwendungsorientierte Einführung anhand beispielhafter Kapitalmarktdaten

Volatilität. Eine anwendungsorientierte Einführung anhand beispielhafter Kapitalmarktdaten

          
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About the Book

Studienarbeit aus dem Jahr 2019 im Fachbereich VWL - Statistik und Methoden, Note: 1,3, FernUniversität Hagen, Sprache: Deutsch, Abstract: Das Ziel der vorliegenden Arbeit ist es, dem Leser, unabhängig von seinen mathematischen Vorkenntnissen, einen Überblick über die wichtigsten Modelle zur Schätzung der Volatilität zu geben und die dahinterstehenden Ideen kurz zu skizzieren. Darauf aufbauend werden anschließend zwei Methoden zur Schätzung der Volatilität anhand beispielhafter Kapitalmarktdaten illustriert und damit verbundene Probleme verdeutlicht. Dabei verzichtet die Arbeit zu jeder Zeit bewusst auf die Herleitung von Formeln. Nach dieser Einleitung wird zunächst auf die für das weitere Verständnis der Arbeit relevanten Grundlagen zur Schätzung der Volatilität eingehen. Der Begriff "Volatilität" wird häufig in Verbindung mit Renditen erwähnt. Aus diesem Grund soll der erste Absatz zunächst eine Einführung in die Berechnung von Renditen geben. Danach wird eine Auswahl wichtiger Modelle zur Schätzung der Volatilität vorgestellt, wobei eine Unterscheidung in zeitdiskrete bzw. zeitstetige Modelle vorgenommen wird. Die Ausführungen werden die wesentlichen, diesen Modellen zu Grunde liegenden Überlegungen und Ideen skizzieren. Der Leser erhält zudem weiterführende Literaturempfehlungen. Den Hauptteil der Arbeit wird sich eingehender mit den Methoden zur Schätzung der Volatilität im Black-Scholes-Modell befassen, welches als wichtiger Vertreter zeitstetiger Modelle angesehen wird. Die Veröffentlichung des nach seinen Erfindern benannten Modells in den frühen 1970er Jahren gilt bis heute als wichtiger Meilenstein bei der Bewertung von europäischen Aktienoptionen. Der Preis einer Option wird von verschiedenen Einflussfaktoren bestimmt. Die Besonderheit der Bewertungsformeln besteht darin, dass alle Parameter, mit Ausnahme der zukünftigen Volatilität, am Kapitalmarkt beobachtet werden können. Da die Formeln nicht explizit nach der Volatilität umgeformt werden können, mu


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Product Details
  • ISBN-13: 9783668986046
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Height: 210 mm
  • No of Pages: 42
  • Spine Width: 3 mm
  • Width: 148 mm
  • ISBN-10: 3668986045
  • Publisher Date: 17 Jun 2019
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Weight: 68 gr


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