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Stochastic Pricing


  • 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.

Suggested Citation

  • Gerhard Schroeder, 2005. "Stochastic Pricing," International Finance 0510019, EconWPA, revised 30 Jan 2006.
  • Handle: RePEc:wpa:wuwpif:0510019
    Note: Type of Document - pdf; pages: 27

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    References listed on IDEAS

    1. Frankel, Jeffrey A & Rose, Andrew K, 1998. "The Endogeneity of the Optimum Currency Area Criteria," Economic Journal, Royal Economic Society, vol. 108(449), pages 1009-1025, July.
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    3. Olivera, Julio H G, 1971. "The Square-Root Law of Precautionary Reserves," Journal of Political Economy, University of Chicago Press, vol. 79(5), pages 1095-1104, Sept.-Oct.
    4. Atish R. Ghosh, 1998. "Currency Boards; The Ultimate Fix?," IMF Working Papers 98/8, International Monetary Fund.
    5. Fischer, Stanley, 1993. "The role of macroeconomic factors in growth," Journal of Monetary Economics, Elsevier, vol. 32(3), pages 485-512, December.
    6. Clements, Benedict & Schwartz, Gerd, 1993. "Currency substitution: The recent experience of Bolivia," World Development, Elsevier, vol. 21(11), pages 1883-1893, November.
    7. Ricardo Hausmann & Michael Gavin & Carmen Pagés-Serra & Ernesto H. Stein, 1999. "Financial Turmoil and Choice of Exchange Rate Regime," Research Department Publications 4170, Inter-American Development Bank, Research Department.
    8. Bruno, Michael & Easterly, William, 1998. "Inflation crises and long-run growth," Journal of Monetary Economics, Elsevier, vol. 41(1), pages 3-26, February.
    9. Caprio, Gerard Jr. & Klingebiel, Daniela, 1996. "Bank insolvencies : cross-country experience," Policy Research Working Paper Series 1620, The World Bank.
    10. Agenor, Pierre-Richard & Khan, Mohsin S., 1996. "Foreign currency deposits and the demand for money in developing countries," Journal of Development Economics, Elsevier, vol. 50(1), pages 101-118, June.
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    More about this item


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

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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