haku: @indexterm VALUATION / yhteensä: 677
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| Tekijä: | Levasseur, M. |
| Otsikko: | Speculative financial markets and new management tools |
| Lehti: | Annales de Sciences Economiques Appliquees
1987 : VOL. 3:6, p.175-198 |
| Asiasana: | MONEY MARKETS MANAGEMENT OPTIONS RISK MANAGEMENT PRICES VALUATION |
| Kieli: | eng |
| Tiivistelmä: | It is argued that the new financial instruments, particularly options, are risk management tools. A good risk management requires the knowledge of the link between the option price and the base asset price. The most widely known formula is the Black-Scholes option valuation model, which shows that the option price is primarily a function of the base asset's risk, measured by the standard deviation of the probability distribution of its price. This formula makes possible an estimation of the base asset's price and to the option's maturity. An optimal portfolio revision frequency can also be determined, based upon the gamma coefficient. It is concluded that an efficient use of the formula crucially depends on the quality of risk measures. |
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