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Informationsgewinnung aus Optionspreisen

Informationsgewinnung aus Optionspreisen

Nicole van de Locht

96,95 €
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Editorial:
Springer Nature B.V.
Año de edición:
2009
Materia
Finanzas
ISBN:
9783834917379
96,95 €
IVA incluido
Disponible

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Sobre IBD

Nicole van de Locht untersucht mit Hilfe der risikoneutralen Dichtefunktion, ob ein Peso-Problem die empirisch beobachtete Abweichung von der ungedeckten Zinsparität beim US-Dollar/Euro-Wechselkurs erklären kann. Außerdem analysiert die Autorin statistische Eigenschaften der risikoneutralen Dichtefunktion wie die Prognosefähigkeit im Vergleich zu bisher häufig verwendeten Prognosemodellen und die Grangerkausalitätsbeziehung zu Wechselkursrenditen.

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