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Stochastic Pricing


Author Info

  • Gerhard Schroeder

    (University of Flensburg, private research)


Critics regarding the Black and Scholes model aren't new. The model was about of being labelled 'historic'. It is new now that the model has become an auto-nomous, unreflected item in international accounting standards and law allowing "creative" accounting. There is no economial relation between the future value of an underlying and it's current volatility. Predictions - pricing of derivatives means predicting - remain uncertain. Findings are based on empirical, experimental techniques using fictituous derivatives, others.

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Bibliographic Info

Paper provided by EconWPA in its series International Finance with number 0510019.

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Length: 27 pages
Date of creation: 16 Oct 2005
Date of revision: 30 Jan 2006
Handle: RePEc:wpa:wuwpif:0510019

Note: Type of Document - pdf; pages: 27
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Related research

Keywords: Black Scholes; FASB; IAS; IFRS; Accounting; fair value; option pricing; stochastic pricing; derivatives;

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