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Das Black-Scholes-Merton Optionspreismodell bei Devisenoptionsgeschäften
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ISBN10: 3668168512
ISBN13: 9783668168510
Publisher: Grin Verlag
Published: Mar 16 2016
Pages: 28
Weight: 0.11
Height: 0.07 Width: 5.83 Depth: 8.27
Language: German
ISBN13: 9783668168510
Publisher: Grin Verlag
Published: Mar 16 2016
Pages: 28
Weight: 0.11
Height: 0.07 Width: 5.83 Depth: 8.27
Language: German
Studienarbeit aus dem Jahr 2015 im Fachbereich VWL - Finanzwissenschaft, Note: 1,3, Universität zu Köln, Sprache: Deutsch, Abstract: Dem Black-Scholes-Merton-Modell bzw. dem Garman-Kohlhagen-Modell für Devisenoptionen, die in den wesentlichen mathematischen Grundlagen bzw. Annahmen identisch sind, unterliegen eine Reihe von restriktiven Annahmen. Ziel dieser Abhandlung soll es sein, durch eine geeignete empirische Überprüfung, Aussagen über die Zuverlässigkeit der Annahmen für die Realität zu treffen. Damit sei allerdings nicht gesagt, dass ebendiese Annahmen den Anspruch erheben würden, die Realität perfekt abzubilden. Letztlich ist ein Modell in jedem Fall nur eine Vereinfachung der Wirklichkeit. Die empirischen Resultate sollen also keinesfalls das Modell angreifen, sondern vielmehr Möglichkeitenaufzeigen, es für bestimmte Zwecke zu erweitern. Das Black-Scholes-Modell bzw. Black-Scholes-Merton-Modell wurde in den frühen 70er Jahren von den renommierten Wirtschaftswissenschaftlern Fischer Black und Myron Scholes, sowie unter separater Beteiligung von Robert Merton, etabliert. Es gilt als Meilenstein der Finanzwirtschaft, da es, trotz seiner restriktiven Annahmen, eine auch heute noch breit genutzte Methodik zur Bewertung von Optionen liefert. Basierend auf der Black-Scholes-Merton-Bewertungsformel entwickelten Garman & Kohlhagen einige Jahre später den wohl bekanntesten Ansatz zur Bewertung von Optionen auf Devisen, indem sie eine Erweiterung durch Samuelson & Merton nutzen, welche Dividenden ausschüttende Aktien in die Bewertung einschloss. Zeitgleich entstand unabhängig davon durch Bigger & Hull ein sehr ähnliches Modell.
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