search query: @indexterm OPTION PRICES / total: 70
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Author: | König, A. Maurer, R. Schradin, H. R. |
Title: | Analyse und Bewertung des Ausfallrisikos bei nicht börsengehandelten bedingten Finanzderivaten |
Journal: | Zeitschrift für Betriebswirtschaft
1997 : VOL. 67, SPECIAL NUMBER, p. 65-80 |
Index terms: | RISK MANAGEMENT VALUATION SIMULATION MONTE CARLO TECHNIQUE OPTION PRICES |
Language: | ger |
Abstract: | The article discusses a specific calculation approach to the valuation of a risk adjusted discount for OTC option prices. Taking the example of an OTC long put position, the distribution function of the counterparty risk is determined using a Monte Carloi simulation. The results are interpreted regarding a suitable decision mechanism. The main findings differ from the well known results of the literature in the field of financial economics. Especially it is shown, that a positive couterparty riskadjusted option price does not exist under all circumstances. |
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