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Down-and-out Call - Bewertungstheorie, numerische Verfahren und Simulationsstudie

Listed author(s):
  • Reimer, Matthias
  • Klaus Sandmann

Die vorliegende Arbeit befa_t sich mit der Bewertung von Down-and-out Calls. Es werden die Vertragseigenschaften und das resultierende Hedgeportfolio untersucht und die Unterschiede zu einem europdischen Call verdeutlicht. Daneben stehen unterschiedliche Bewertungsverfahren im Mittelpunkt des Interesses. Neben der expliziten Lösung, die sich aus einem modifizierten Black-Scholes Ansatz ergibt, wird ein Binomialmodell hergeleitet und das Monte-Carlo Verfahren angewandt. Die beiden letzteren approximativen Lösungsverfahren sind insbesondere dann von Interesse, falls die explizite Lösung eines Bewertungsproblems nicht vorliegt. Aus diesem Grund werden die Konvergenzeigenschaften der genannten numerischen Verfahren untersucht und mittels Simulationen verdeutlicht.

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Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 239.

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Length: pages
Date of creation: Mar 1993
Handle: RePEc:bon:bonsfb:239
Contact details of provider: Postal:
Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany

Fax: +49 228 73 6884
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