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Bücher Englische Bücher Wissen & Bildung Sozialwissenschaft, Recht, Wirtschaft Wirtschaft Betriebswirtschaft Option Valuation in the Presence of Market Imperfections
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Option Valuation in the Presence of Market Imperfections
Andreas Bell (Broschiert, Englisch)
★★★★★
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Optischer Zustand
Beschreibung
The Black/Scholes model and other option valuation concepts are enjoying widespread application by theoreticians and practitioners. However, one must not ignore that model values do not necessarily meet market prices. The reason is that the model rationales are based on a perfect, frictionless market environment that no options market in reality can ever provide. This book describes and discusses… the numerous market imperfections found in reality and the effects they have on option prices. Many of these factors are not obvious at first glance (e.g. market impact costs, trading restrictions, non-lognormal stock price distributions, taxes, dividends, and others). It is shown how these factors can cause the significant, systematic deviations of market prices from model values that are found in a variety of empirical studies. Alternative models that have been devised in an attempt to alleviate these biases are shown to be unable to capture them in a consistent fashion. This work provides the theoretician with a comprehensive survey and discussion of the current academic knowledge on the subject and its implications for option market efficiency. For the practitioner, the book opens the black box of option valuation models and sharpens the eye for the difference between theoretical elegance and practical applicability. Dieses Produkt haben wir gerade leider nicht auf Lager.
Handgeprüfte Gebrauchtware
Bis zu 50 % günstiger als neu
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Technische Daten
Erscheinungsdatum
01.02.1993
Sprache
Englisch
EAN
9783631456606
Herausgeber
Peter Lang GmbH, Internationaler Verlag der Wissenschaften
Serien- oder Bandtitel
Europäische Hochschulschriften / European University Studies / Publications Universitaires Européennes
Sonderedition
Nein
Autor
Andreas Bell
Seitenanzahl
255
Einbandart
Broschiert
Autorenporträt
The author: Andreas Bell was born in 1964 in Hanau, Germany. Upon completion of a banking apprenticeship, he studied business administration at the Johann Wolfgang Goethe-Universität in Frankfurt. He also received an MBA degree at the University of Wisconsin in Madison, with Finance as his major field of study. Currently, he is working at a portfolio management subsidiary of a multinational American bank.
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