Abstract
We now turn to the determination of the prices of derivative securities such as forwards, futures, or options in the presence of fluctuations in the price of the underlying. Such investments for speculative purposes are risky. Bachelier’s work on futures already shows that for relative prices, even the deterministic movements of the derivative are much stronger than those of the bond, and it seems clear that an investment into a derivative is then associated with a much higher risk (see also Bachelier’s evaluation of success rates) than in the underlying security, although the opportunities for profit would also be higher.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2003 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Voit, J. (2003). The Black—Scholes Theory of Option Prices. In: The Statistical Mechanics of Financial Markets. Texts and Monographs in Physics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-05125-2_4
Download citation
DOI: https://doi.org/10.1007/978-3-662-05125-2_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-00978-8
Online ISBN: 978-3-662-05125-2
eBook Packages: Springer Book Archive