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About this product
- DescriptionThe Black/Scholes model and other option valuation concepts are enjoying widespread application by theoreticians and practitioners. However, one must t igre that model values do t necessarily meet market prices. The reason is that the model rationales are based on a perfect, frictionless market environment that options market in reality can ever provide. This book describes and discusses the numerous market imperfections found in reality and the effects they have on option prices. Many of these factors are t obvious at first glance (e.g. market impact costs, trading restrictions, n-logrmal stock price distributions, taxes, dividends, and others). It is shown how these factors can cause the significant, systematic deviations of market prices from model values that are found in a variety of empirical studies. Alternative models that have been devised in an attempt to alleviate these biases are shown to be unable to capture them in a consistent fashion. This work provides the theoretician with a comprehensive survey and discussion of the current academic kwledge on the subject and its implications for option market efficiency. For the practitioner, the book opens the black box of option valuation models and sharpens the eye for the difference between theoretical elegance and practical applicability.
- Author BiographyThe author: Andreas Bell was born in 1964 in Hanau, Germany. Upon completion of a banking apprenticeship, he studied business administration at the Johann Wolfgang Goethe-Universitaet in Frankfurt. He also received an MBA degree at the University of Wisconsin in Madison, with Finance as his major field of study. Currently, he is working at a portfolio management subsidiary of a multinational American bank.
- Author(s)Andreas Bell
- PublisherPeter Lang GmbH
- Date of Publication01/02/1993
- SubjectFinance & Accounting
- Series TitleEuropean University Studies
- Series Part/Volume Numberv. 1369
- Place of PublicationFrankfurt am Main
- Country of PublicationGermany
- First Published1993
- ImprintPeter Lang GmbH
- Content Noteillustrations
- Weight350 g
- Width148 mm
- Height210 mm
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