von Shermin Voshmgir
Statistik und Sichtungsnachweis dieser Seite findet sich am Artikelende
| [1.] Svr/Fragment 077 07 - Diskussion Zuletzt bearbeitet: 2020-01-15 15:27:01 Klgn | Fragment, Gesichtet, KomplettPlagiat, SMWFragment, Schutzlevel sysop, Svr, Trigeorgis 1993 |
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| Untersuchte Arbeit: Seite: 77, Zeilen: 7-18 |
Quelle: Trigeorgis 1993 Seite(n): 205, Zeilen: right col, last paragraph |
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| The actual valuation of options in practice has been greatly facilitated by Cox and Ross's (1976) recognition that an option can be replicated (or a "synthetic option" created) from an equivalent portfolio of traded securities. Thus, investors are independent of risk attitudes or capital market equilibrium considerations. Such risk-neutral valuation enables present-value discounting of expected future payoffs (with actual probabilities replaced with risk-neutral ones) at the risk-free interest rate, a fundamental characteristic of arbitrage-free price systems involving traded securities. Rubinstein (1976) further showed that standard option pricing formulas can be alternatively derived under risk aversion, and that the existence of continuous trading opportunities enabling a riskless hedge or risk neutrality, are not really necessary.
Cox, J. and Ross, S. 1976, "The Valuation of Options for Alternative Stochastic Processes," Journal of Financial Economics. 145-166 (January 1976). Rubinstein, M. 1976, "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, pp. 407-425 (Autumn 1976). |
The actual valuation of options in practice has been greatly facilitated by Cox and Ross's [26] recognition that an option can be replicated (or a "synthetic option" created) from an equivalent portfolio of traded securities. Being independent of risk attitudes or capital market equilibrium considerations, such risk-neutral valuation enables present-value discounting, at the risk-free interest rate, of expected future payoffs (with actual probabilities replaced with risk-neutral ones), a fundamental characteristic of ’arbitrage-free” price systems involving traded securities. Rubinstein [87] further showed that standard option pricing formulas can be alternatively derived under risk aversion. and that the existence of continuous trading opportunities enabling a riskless hedge or risk neutrality are not really necessary.
26. J. Cox and S. Ross. "The Valuation of Options for Alternative Stochastic Processes." Journal of Financial Economics (January 1976). pp. 145-166. 87. M. Rubinstein. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics (Autumn 1976), pp. 407-425. |
No quotation marks. The actual source is given on p. 74 and p. 81. |
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| [2.] Svr/Fragment 077 19 - Diskussion Zuletzt bearbeitet: 2020-02-25 15:02:36 Schumann | Brealey Myers 1981, Fragment, Gesichtet, SMWFragment, Schutzlevel sysop, Svr, Verschleierung |
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| Untersuchte Arbeit: Seite: 77, Zeilen: 19-23, 25-30 |
Quelle: Brealey Myers 1981 Seite(n): 440, 442, Zeilen: 440: 6 ff.; 442: 2 ff. |
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| As can be seen from the formula, the willingness of individuals to bear risk does not affect the option value, nor does the expected return on stock. The value of the stock increases with the level of the stock price to the exercise price (S/X), the time to expiration times the interest (rf t), and the time to expiration times the stock’s variability (σ2 t).
[5.5.3 Simplifying the calculation] The Black-Scholes option valuation formula, with all these mathematical expression, seems a little removed from the real world. However, every day dealers on the option exchanges have been using exactly this formula for years. These dealers are for the most part not trained in the formula’s mathematical derivations. Instead, they just use special computer programs or a set of tables to find the value of an option. |
Notice that the willingness of individuals to bear risk does not affect value, nor does the expected return on the stock.16 The value of the option increases with the level of the stock price relative to the exercise price (P/EX), the time to expiration times the interest rate (rft), and the time to expiration times the stock’s variability (σ2t).
16 [...] [page 442] Does the Black-Scholes option-valuation formula seem a little removed from the real world? It should not. Every day dealers on the Chicago Board Options Exchange use this formula to make huge trades. These dealers are not, for the most part, trained in the formula’s mathematical derivation; they just use a specially programmed calculator or a set of options tables to find the value of the option. |
The source is not given. |
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Letzte Bearbeitung dieser Seite: durch Benutzer:Schumann, Zeitstempel: 20200225150337