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Stochastic Pricing

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Author Info
Gerhard Schroeder (University of Flensburg, private research)

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Abstract

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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File URL: http://129.3.20.41/eps/if/papers/0510/0510019.pdf
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Publisher Info
Paper provided by EconWPA in its series International Finance with number 0510019.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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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Web page: http://129.3.20.41

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

Find related papers by JEL classification:
F3 - International Economics - - International Finance
F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

This paper has been announced in the following NEP Reports:

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This page was last updated on 2009-11-13.

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