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Zeitstetige Modelle und deren Anwendung in der Bewertung von Derivaten

Zeitstetige Modelle und deren Anwendung in der Bewertung von Derivaten

          
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About the Book

Studienarbeit aus dem Jahr 2007 im Fachbereich VWL - Finanzwissenschaft, Note: 13 Punkte, Justus-Liebig-Universität Gießen, Sprache: Deutsch, Abstract: Die Bewertung von Derivaten spielt in der Finanzwirtschaft eine bedeutende Rolle, zumal Derivatemärkte bezüglich ihres globalen Handelsvolumens in den letzten Jahren erheblich gewachsen sind und damit die Aufmerksamkeit der Zentralbanken, Aufsichtsbehörden und supranationalen Finanzinstitute auf sich gezogen haben. Es besteht die Sorge, dass dieses ungebremste Wachstum an den Säulen des globalen Finanzsystems rütteln könnte, da sie exponentiell stärker wachsen als die Realwirtschaft. Derivate sind künstliche Finanzinstrumente. Der zentrale Bestandteil der Bewertungstheorie von Derivaten ist es daher, das stochastische Modell der Preisbildung der zugrunde liegenden Underlyings abzuleiten. Im Rahmen dieser Arbeit steht die Annahme zeitstetiger Modelle zur Beschreibung von Wertapierpreisen und -renditen im Mittelpunkt. Diese im ersten Kapitel vorgestellten Preisprozesse werden in den darauf folgenden Kapiteln zur Ableitung der fairen, arbitragefreien Preise beliebiger Derivate (Aktien, Zinsen, Wechselkurse etc.) herangezogen. Anschließend wird das Black-Scholes-Modell zur Bewertung von Optionen hergeleitet und diskutiert. Das von Fischer Black und Myron Scholes im berühmten Artikel "The pricing of options and corporate liabilities" veröffentlichte Black-Scholes-Modell gilt als ein Meilenstein der Finanzwirtschaft, welches 1973 mit dem Nobelpreis für Wirtschaftswissenschaften ausgezeichnet wurde. Die Finanzindustrie erkannte sehr schnell den fundamentalen Durchbruch der Wissenschaftler, woraufhin sich das Modell als Standard etablierte. Im praktischen Teil der Arbeit werden im Kapitel 2.3 die Sensitivitätskennzahlen, die sog. "Griechen" als Einflussfaktoren des Optionswertes vorgestellt und interpretiert. Eine kurze Zusammenfassung und ein Ausblick schließen die Arbeit im Kapitel 2.4 ab.


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Product Details
  • ISBN-13: 9783656944584
  • Publisher: Grin Publishing
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 2 mm
  • Width: 148 mm
  • ISBN-10: 365694458X
  • Publisher Date: 22 Apr 2015
  • Height: 210 mm
  • No of Pages: 36
  • Series Title: German
  • Weight: 63 gr


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