haku: @author Schröder, G. / yhteensä: 1
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| Tekijä: | Schröder, G. |
| Otsikko: | Empirische Beiträge zur Optionsbewertung am Beispiel von Black und Scholes u.a. |
| Lehti: | Zeitschrift für Betriebswirtschaft
1998 : ERGÄNZUNGSHEFT 2/98, p. 29-53 |
| Asiasana: | OPTIONS OPTION PRICES OPTION VALUATION CAPITAL MARKETS EMPIRICAL RESEARCH VOLATILITY |
| Kieli: | ger |
| Tiivistelmä: | By analyzing fictitious options significant mispricing due to the formular of Black and Scholes can be shown systematically and independent from market distortion. Without any evidence of lognormal distributions in reality even options based on fictitious and lognormally distributed courses are not valued properly. According to The Law of Large Numbers pricing models based on time distributions should be applied to strategies rather than to single option trading. The discontinuity of autocorrelation has impact on forecasting models. The future will belong to those models able to include exogene factors like relevant information and changes of the economic scenario. |
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