Results 161 to 170 of about 31,684 (198)

Black-Scholes-Formel

2012
In diesem Kapitel soll eine beruhmteste Formel der Finanzmathematik hergeleitet werden, die Black-Scholes-Formel . Es ist nicht ubertrieben, die Entdeckung dieser Formel als den Beginn der modernen Finanzmathematik zu bezeichnen. Wir beschreiben in Abschnitt 10.1 das Problem, in Abschnitt 10.2 wird es auf eine partielle Differentialgleichung ...
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Black-Scholes model

2011
In this chapter we present some of the fundamental ideas of arbitrage pricing in continuous time, illustrating Black-Scholes theory from a point of view that is, as far as possible, elementary and close to the original ideas in the papers by Merton [250], Black and Scholes [49].
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Black-Scholes-Optionsmodell

2001
Einfache, allgemein akzeptierte okonomische Annahmen reichen nicht aus, um eine rationale Optionspreistheorie zu entwickeln. Die Voraussetzung eines perfekten Marktes hat in Kapitel 2.1 nur zum Herleiten elementarer Arbitragebeziehungen gereicht, denen Optionspreise genugen mussen und die sich daher als Test fur fortgeschrittene Modellierungsansatze ...
Jürgen Franke, Wolfgang Härdle, Christian Hafner   +2 more
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Pricing Models Beyond Black-Scholes

2013
In the previous chapters we presented several pricing and hedging problems both in a discrete- and in a continuous-time setting. The basic model assumed in the first case was the binomial model, while for the continuous-time case the Black-Scholes model was assumed to be the framework, and in this last case the dynamics of the risky assets was ...
Emanuela Rosazza Gianin, Carlo Sgarra
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Die Black-Scholes-Gleichung

2003
In diesem Kapitel leiten wir die Black-Scholes-Gleichung her. Dafur benotigen wir den Begriff der stochastischen Differentialgleichung von Ito, den wir in Abschnitt 4.1 einfuhren. Abschnitt 4.2 befasst sich dann mit der Herleitung der Black-Scholes-Gleichung und deren Losung, den sogenannten Black-Scholes-Formeln.
Michael Günther, Ansgar Jüngel
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The Black-Scholes Formula

2013
For the Black-Scholes model, as introduced in the last chapter, we can now derive the no-arbitrage price of a European-style option – the so-called Black-Scholes formula. In Section 7.1, we will discuss a direct approach to obtaining the Black-Scholes formula as the solution of a partial differential equation.
Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer   +3 more
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Black-Scholes Differential Equation

2021
After deriving the Black-Scholes equation for a call option from the requirement to make a portfolio risk-free, the equation is solved using a number of variable substitutions, which transforms it into a diffusion equation. Using the latter’s Green’s function is then used to value European call options.
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Black-Scholes Risk Management

2015
Risk management takes many forms, but common to all of them is the following set of aims: identify risk; measure risk; reduce risk; report risk.
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Das Black-Scholes-Modell

2016
In diesem Kapitel diskutieren wir beispielhaft das Black-Scholes-Modell, welches den einfachsten Spezialfall eines AFBST darstellt. In einem Black-Scholes-Modell gibt es nur zwei Finanzguter, namlich eine risikofreie Anlage, der sogenannte Bond, und eine Aktie.
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The Black–Scholes Model

1995
Introduction We begin this chapter with a discussion of the concept of arbitrage, a concept which, in certain circumstances, allows us to establish precise relationships between prices and thence to determine them. We then discuss option strategies in general and use arbitrage, together with the model for asset price movements that we discussed in ...
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