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Deutscher Universitätsverlag Optionsbewertung bei stochastischer Volatilität (Empirische Finanzmarktforschung/Empirical Finance)

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£45.95 £45.87 £45.89 £45.91 £45.92 £45.94 £45.96 25 July 2026 15 August 2026 06 September 2026 28 September 2026 20 October 2026
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Price distribution over 88 days • 1 price levels

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88 days 0 22 44 66 88 £46 Days at Price

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Most common price: £46 (88 days, 100.0%)

Price range: £46 - £46

Price levels: 1 different prices over 88 days

Description

Das bekannte Modell von Black und Scholes zur Bewertung von Aktienoptionen weist verschiedene Schwächen auf, die sich aus der angenommenen Konstanz der Volatilität ergeben. Erst zwanzig Jahre nach der Entwicklung dieses Modells ist es Heston gelungen, eine analytische Bewertungsformel für ein Modell herzuleiten, bei dem von einer tatsächlichen stochastischen Volatilität der Aktienkurse ausgegangen wird. Nach einer ausführlichen Bestandsaufnahme der empirischen Literatur zum Black/Scholes-Modell diskutiert Hartmut Nagel verschiedene Optionsbewertungsmodelle, bei denen die Volatilität als nicht konstante Zustandsvariable modelliert wird. Anschließend analysiert er den Ansatz von Heston ausführlich und zeigt, welche Vorteile er aus theoretischer Sicht gegenüber dem Black/Scholes-Modell bietet. Im Rahmen einer empirischen Untersuchung werden die dargestellten Modelle für den deutschen Kapitalmarkt überprüft.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
26 January 2001
Listed Since
17 July 2013

Barcode

No barcode data available

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