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Wertgrenzen von Devisenoptionen by Husmann, Sven

Wertgrenzen von Devisenoptionen

by Sven Husmann
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Book cover type: Paperback
  • ISBN13: 9783838602523
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Diplom.de
  • Publisher Imprint: Diplom.de
  • Publication Date:
  • Pages: 84
  • Original Price: GBP 57.9
  • Language: German
  • Edition: N/A
  • Item Weight: 123 grams
  • BISAC Subject(s): Economics / General

Inhaltsangabe: Gang der Untersuchung: In diesem Abschnitt wurde dem Ansatz von Ritchken ein iteratives Verfahren zur Ermittlung von Wertgrenzen nach dem Kriterium der stochastischen Dominanz gegenübergestellt. Der Vorteil des Ansatzes von Ritchken gegenüber dem iterativen Verfahren liegt darin, da er geschlossene analytische Formeln für die Wertgrenzen liefert und der Rechenaufwand daher erheblich geringer ist. Au erdem gibt der Optimierungsansatz Ritchkens ökonomische Einsichten in die Eigenschaften der Wertgrenzen, weil die Risikopräferenzen der Investoren unmittelbar verwendet werden. Beim iterativen Verfahren hingegen wird der Bezug zum Konzept der stochastischen Dominanz deutlicher als bei Ritchken, weil zur Ermittlung der Wertgrenzen die Definitionen der stochastischen Dominanz verwendet werden und nicht die Risikopräferenzen direkt. Au erdem liefert der iterative Ansatz eine genaue Anweisung für die Zusammenstellung eines stochastisch dominanten Portfolios. Ritchken macht keine Angaben, welche Investitionsalternative einem Investor zum Call offensteht, wenn die Wertgrenzen verletzt werden. In der praktischen Anwendung lassen sich die Vorteile beider Verfahren verbinden, indem man zuerst die Wertgrenzen einer Option nach Ritchken berechnet. Liegt der Marktpreis unter der Wertuntergrenze, ist der Kauf der Option gegenüber einem Portfolio stochastisch dominant. Liegt der Marktpreis über der Wertobergrenze, kann man ein gegenüber der Option stochastisch dominantes Portfolio zusammenstellen, indem man Ritchkens Wertobergrenze in die im Abschnitt 4.2 angegebenen Formeln einsetzt. Gegenüber der Bewertung von Devisenoptionen mit dem Binomialmodell haben die Wertgrenzen den Nachteil, da i. d. R. kein eindeutiger Preis berechnet werden kann und die Erwartungen der Marktteilnehmer bezüglich der zukünftigen Wechselkursentwicklung bekannt sein müssen. Au erdem wird bei der Ermittlung der SSD-Wertgrenzen unterstellt, da die Marktteilnehmer risikoavers sind, während di

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