Advertisement

The Black—Scholes Theory of Option Prices

  • Johannes Voit
Part of the Texts and Monographs in Physics book series (TMP)

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.

Keywords

Stock Price Option Price Fractional Brownian Motion Implied Volatility Strike Price 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Johannes Voit
    • 1
  1. 1.Deutscher Sparkassen- und GiroverbandBonnGermany

Personalised recommendations