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Option Pricing. Modelle zur Bepreisung von Optionen by Almert, Jan Lukas

Option Pricing. Modelle zur Bepreisung von Optionen

by Jan Lukas Almert , Markus Willemsen
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Book cover type: Paperback
  • ISBN13: 9783668532847
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Publication Date:
  • Pages: 32
  • Original Price: USD 26.9
  • Language: German
  • Edition: 1. Auflage
  • Item Weight: 55 grams
  • BISAC Subject(s): General

Studienarbeit aus dem Jahr 2017 im Fachbereich BWL - Investition und Finanzierung, Note: 2.0, Technische Universität Dortmund, Sprache: Deutsch, Abstract: Im Rahmen dieser Seminararbeit sollen unterschiedliche Methoden vorgestellt werden, die sich insbesondere eignen, um Optionen mit amerikanischen Ausstattungsmerkmalen zu bewerten. Diese zeichnen sich dadurch aus, dass ein Ausüben der Option zu jedem Zeitpunkt während der Laufzeit möglich ist, sodass diese Flexibilität bei der Bepreisung berücksichtigt werden muss. Zunächst wird hierzu das Modell des Binomialbaums vorgestellt, mit dem Optionen auf einfache Weise numerisch bewertet werden können. Anschlie end wird dann das Black-Scholes-Modell behandelt, welches als Grenzfall des Binomialmodells verstanden werden kann und eine analytische Lösung für den fairen Wert einer Option liefert. Darüber hinaus wird als drittes Bewertungsverfahren der Least Squares Monte-Carlo Algorithmus beleuchtet, der mittels Simulation einen Preis für eine Option ermittelt. Abschlie end soll ein Beispiel die Anwendung der Binomialbaum-Methode zur Bewertung Amerikanischer Optionen verdeutlichen.

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