Forschungsarbeit: Optionspreistheorie


Formeln – Herleitungen – Beweise

Finanzmanagement, Band 135

Hamburg 2019, 228 Seiten
ISBN 978-3-339-10622-3 (Print), ISBN 978-3-339-10623-0 (eBook)

American Option, Amerikanische Option, Asian Option, Asiatische Option, Bachelier, Barrieroption, Barrier Option, Black-Scholes, Constant Maturity Swap, Double-Barrier-Option, Double Barrier Option, Finanzmathematik, Mathematik, Optionspreistheorie, Quanto Option, Quantooption, Risikofaktor, risk factor, Value at Risk, variance-covariance approach, Varianz-Kovarianz-Ansatz, Wirtschaftsmathematik

about this book

deutsch | english

The title of this book means “Option Pricing Theory”. The author treats options on one or two shares in the framework of the Black-Scholes Model. He gives derivations of American and Asian Options and proves formulae of rainbow options and several types of Single and Double Barrier Options including the problem of rebates. The reader receives useful formulae in an almost simple notation how they are needed in practice.

In case of negative interest he also treats the Bachelier Model which is used particularly for interest rate options like Caps, Floors, Swaptions, and Constant Maturity Swaps. The Black-Scholes Model is applied, too. The model for shares is enlarged to exchange and interest rates.

At the end of the book the author introduces the reader into the topic of Value at Risk. He presents the variance-covariance approach for linear risk and illustrates its principle by examples. The Monte Carlo Simulation for nonlinear risk calculation is also briefly outlined.


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