Artikel
Pricing of Caps and Floors. A Simplified Approach
Notierung von "Caps" and "Floors". Ein vereinfachtes Verfahren Das Optionspreismodell von Cox-Rubinstein diente der Erarbeitung einer Methode für die Notierung von "Caps" und "Floors". Dabei handelt es sich um Zinsoptionen, die den Zins-Swaps eng verwandt sind. Dieses Charakteristikum wird als Grundlage für die Definition eines neuen Instruments herangezogen, das der Zinsoption zugrunde liegt. Ausgehend von der auf diesem Instrument beruhenden neutralen Kurssicherungsstrategie kann das Modell entwickelt werden. Es erweist sich, daß der Tageskurs für "Caps" und "Floors" erhalten bzw. als zu hoch oder zu niedrig im Markt bewertet wird. Das Modell erfüllt somit seinen Zweck und weist auch auf die zu empfehlenden Kurssicherungsstrategien hin.
- Language
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Englisch
- Bibliographic citation
-
Journal: Kredit und Kapital ; ISSN: 0023-4591 ; Volume: 20 ; Year: 1987 ; Issue: 1 ; Pages: 1-21
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Hubbes, Hans H.
- Event
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Veröffentlichung
- (who)
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Duncker & Humblot
- (where)
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Berlin
- (when)
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1987
- DOI
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doi:10.3790/ccm.20.1.1
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Hubbes, Hans H.
- Duncker & Humblot
Time of origin
- 1987
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Pricing of Caps and Floors. A Simplified Approach
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The Economy in Context: A Value-Based Approach
A Monetary (Asset) Approach to Exchange Rate Determination: The Evidence since 1973
Do Bondholder Relations Efforts Pay Off for German Firms? An Empirical Approach
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