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Wachstumsorientierte Bewertung von Derivaten

Wachstumsorientierte Bewertung von Derivaten

Andreas Ott

79,00 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2007
Materia
Finanzas
ISBN:
9783835006874
79,00 €
IVA incluido
Disponible

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Sobre IBD

Andreas Ott entwickelt ein Konzept für die Bewertung von Derivaten bei unvollständigen und unvollkommenen Finanzmärkten unter Verwendung der wachstumsorientierten Portfolioplanung. Hierbei werden die Präferenzen anhand von Wachstumsvorgaben modelliert, eine Nutzenfunktion ist nicht erforderlich. Analog zur nutzenbasierten Bewertung wird ein wachstumsorientierter Zustandspreisvektor (bzw. ein Martingalmaß) bestimmt. Zudem können wachstumsorientierte Reservationspreise und Hedgingstrategien für eine fest vorgegebene Anzahl eines Derivats hergeleitet werden.

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