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Unsicherheit und der Wert realer Optionen

Author

Listed:
  • Timo Willershausen

    (Fachbereich Wirtschaftswissenschaften der Philipps-Universität Marburg)

  • Sascha H. Mölls

    (Lehrstuhl für Allgemeine Betriebswirtschaftslehre und Wirtschaftsprüfung der Philipps-Universität Marburg)

  • Karl-Heinz Schild

    (Fachbereich Wirtschaftswissenschaften der Philipps-Universität Marburg)

Abstract

Zusammenfassung Der vorliegende Beitrag untersucht den Einfluss der Unsicherheit auf den Wert realer Optionen unter gleichzeitiger Berücksichtigung einer möglichen Wertänderung im zugrunde liegenden Vermögenswert (Underlying). Es zeigt sich, dass die Behauptung eines stets positiven Werteinflusses der Unsicherheit nicht aufrechterhalten werden kann, wenn sich mit einer Änderung der Standardabweichung auch der Wert des Underlying ändert. Die gängige Interpretation trifft nur dann zu, sofern die wertrelevante Rendite-/Risikorelation unbeachtet bleibt oder rein unsystematisches Risiko vorliegt. In allen anderen Konstellationen sind die Ergebnisse ambivalent.

Suggested Citation

  • Timo Willershausen & Sascha H. Mölls & Karl-Heinz Schild, 2007. "Unsicherheit und der Wert realer Optionen," Schmalenbach Journal of Business Research, Springer, vol. 59(3), pages 314-332, May.
    • Handle: RePEc:spr:sjobre:v:59:y:2007:i:3:d:10.1007_bf03371699
    DOI: 10.1007/BF03371699
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    References listed on IDEAS

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    Cited by:

    1. Berg, Tobias & Mölls, Sascha H. & Willershausen, Timo, 2009. "(Real-)options, uncertainty and comparative statics: Are Black and Scholes mistaken?," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 645, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.

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    More about this item

    Keywords

    G13; G31; O32;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • O32 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Management of Technological Innovation and R&D

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