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DTB-Optionsanalyse
Müller, Thomas; Flemisch, Marcus - 1993 - 1. Aufl.
Persistent link: https://www.econbiz.de/10004243424
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Asset price volatility and option hedging in imperfectly elastic markets
Frey, Rüdiger - 1995
Persistent link: https://www.econbiz.de/10004299305
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Flexible Wechselkurse, Wechselkursvolatilität und Welthandel
Schubert, Michael - 1992
Persistent link: https://www.econbiz.de/10004128136
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Dynamische Steuerung von Portfoliorisiken
Reinschmidt, Timo - 2006
Persistent link: https://www.econbiz.de/10004920247
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Criticism of the Black-Scholes Model: But Why Is It Still Used? (The Answer Is Simpler than the Formula).
Yalincak, Orhun Hakan - Volkswirtschaftliche Fakultät, … - 2005
The Black Scholes Model (BSM) is one of the most important concepts in modern financial theory both in terms of approach and applicability. The BSM is considered the standard model for valuing options; a model of price variation over time of financial instruments such as stocks that can, among...
Persistent link: https://www.econbiz.de/10011211858
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A Complete-Market Generalization of the Black-Scholes Model
Takaoka, Koichiro - In: Asia-Pacific Financial Markets 11 (2004) 4, pp. 431-444
Persistent link: https://www.econbiz.de/10005810980
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General Black-Scholes models accounting for increased market volatility from hedging strategies
Sircar, K. Ronnie; Papanicolaou, George - In: Applied Mathematical Finance 5 (1998) 1, pp. 45-82
Increases in market volatility of asset prices have been observed and analysed in recent years and their cause has …. The results clearly support the observed increasing volatility phenomenon and provide a quantitative explanation for it. …
Persistent link: https://www.econbiz.de/10005495383
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Approximating equity volatility.
Loulit, Ahmed - Centre Emile Bernheim, Solvay Brussels School of … - 2004
The volatility estimation is a crucial problem for pricing derivatives. The traditional implied volatility approach … due to Bensoussan, Crouhy and Galai (1995) who derive an extension of the Black-Scholes model where the stochastic … volatility ?is endogenous and depends on the change in the firm’s financial leverage. These authors give an analytic …
Persistent link: https://www.econbiz.de/10005558915
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Portfolio insurance and volatility On the robustness of the Black- Scholes Option Pricing Model
Frey, Ruediger; Stremme, Alexander - University of Bonn, Germany
Persistent link: https://www.econbiz.de/10004989592
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Commodity Price Volatility: The Impact of Commodity Index Traders
Getu, Hailu; Weersink, Alfons - Canadian Agricultural Trade Policy Research Network (CATPRN) - 2010
Over the years, critics have argued that futures market prices have been either too low or too high. Speculators have often been the target for the wrath of those feeling the futures price does not properly reflect market fundamentals. Recently, the criticism has been vented toward a new type of...
Persistent link: https://www.econbiz.de/10008693730