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Der Informationsgehalt Von Optionspreisen
Paperback
Series: Betriebswirtschaftliche Studien
Investing & FinanceGeneral Mathematics
ISBN13: 9783790800364
Publisher: Physica-Verlag
Published: Mar 18 2003
Pages: 294
Weight: 0.96
Height: 0.65 Width: 6.14 Depth: 9.21
Language: German
Die Preise, zu denen Aktienindexoptionen an den internationalen Terminbörsen gehandelt werden, weichen in der Regel systematisch von den Implikationen des von Black, Scholes und Merton entwickelten Standartmodells der Optionsbewertung ab. Zur Erklärung dieses als Smile-Effekt bekannten Phänomens existieren verschiedene Hypothesen, die in dieser Arbeit diskutiert und anhand von Transaktionsdaten für die DAX-Option empirisch überprüft werden. Unter bestimmten Bedingungen kann die umfangreiche Datenbasis genutzt werden, um Informationen über die den Preisen zugrunde liegende Kursverteilung und den impliziten Kursprozess des Basispapiers zu gewinnen. In der Analyse dieser Verfahren liegt ein Schwerpunkt der Arbeit. Die Studie soll insgesamt zu einem besseren Verständnis der preisbestimmenden Faktoren von Aktienindexoptionen beitragen.
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