Eine Einführung in die arbitragefreie Bewertung von Derivaten in stetiger Zeit am Beispiel europäischer Devisenoptionen
Year: 1994
Author: Lehrbass, Frank B.
Credit and Capital Markets – Kredit und Kapital, Vol. 27 (1994), Iss. 4 : pp. 591–627
Abstract
An Introductory to Continuous-Scale Derivatives Evaluation in a Non-Arbitrage Environment on the Basis of the Example of European Foreign-Exchange Options
The legendary evaluation formulae of Black/Scholes (1973) and Garman/Kohlhagen (1983) are explained in great detail in a didactically attractive manner. To begin with, two fundamental discoveries concerning the option price theory are explained with the help of a simple binomial model: independence of optionrights evaluations from market participants’ risk-acceptance propensity and the resultant possibility of evaluating option rights in an imaginary risk-free environment. This is followed by a model reflecting the dynamism of prices - Brown’s geometric progression. This is the basis of the Garman/Kohlhagen differential equation, which provides the justification of the two aforementioned fundamental discoveries pertaining to the continuous-scale evaluations. With the help of evaluations in a risk-free environment, the Garman/Kohlhagen formula is subsequently developed, which includes the Black /Scholes formula describing a special case. Reading this introductory presupposes nothing more than “A-level knowledge of mathematics”.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.27.4.591
Credit and Capital Markets – Kredit und Kapital, Vol. 27 (1994), Iss. 4 : pp. 591–627
Published online: 1994-04
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 37
Author Details
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