The name is absent



S ɪs ALLYS

Sivu


Ljohdanto...........................................................................................................................ι

2. Optiokaupan peruskàsitteet, Historia ja teoreettiset rajaehdot . 6

2.1 Optioiden peruskâsitteitâ...................................................................................................6

2.2 Optiokaupan Kistoriaja Suomenjohdannaismarkkinat.....................................................8

2.3 Optioiden teoreettiset rajaehdot ja niiden toteutuminen Suomessa.................................IO

2.3.1 Yleistarajaehdoista...................................................................................................10

2.3.2 Rajaehdot eurooppalaisille indeksioptioille..............................................................11

2.3.3 Rajaehtojen toteutuminen Suomalaisilla Indeksioptiomarkkinoilla..........................15

2.3.3.3 Puttosen tutkimus vuodelta 1992........................................................................19

3. B LACK-S CHOLES-MALLI OPTIOIDEN TEOREETTISTEN ARVOJEN
MÀÀRITTÀJÀNÀ...................................................................................................................22

3.1 Optioiden hinnoittelumallien historia ennen BS-maliia..................................................22

3.2 Mallin perusmuoto, parametrit ja Ominaisuudet..............................................................23

3.2.1 BS-mallin Ominaisuudet............................................................................................27

3.2.1.1 BS-mallin Osittaisderivaatat suhteessa kohde-etuuden hintaan, Iunastushintaanja
maturiteettiin osto-option tapauksessa............................................................................27

3.2.2.2 Joitain raja-arvoja osto-option hinnalle..............................................................28

3.3 BS-mallin Oletusten realistisuus nykyisten markkinoiden kannalta - havaintoja
markkinoilta ja Iaajennuksia malliin.....................................................................................29

3.3.1 Kohde-etuudelle maksettavat osingot ja B76-malli..................................................31

4. Stokastinen Volatiliteetti optioiden hinnoπteluss a ja empπrinen

Tutkimusongelma..........................................................................................................35

4.1 Perinteiset Volatilitettiestimaattorit..................................................................................35

4.1.1 Historiallinen Volatiliteetti........................................................................................35

4.1.2 Implisiittinen Volatiliteetti.........................................................................................36

4.2. Stokastisen VolatiIiteetin maarittâminen........................................................................37

4.2.1 Wigginsin tutkimus vuodelta 1987...........................................................................38

4.2.2 Hullinja Whiten tutkimus vuodelta 1987.................................................................39

4.2.3 Coxja Ross - malli....................................................................................................40

4.2.4 ARCH-ja GARCH-mallit Stokastisen Volatiliteetin mâarittâjinâ.............................41

4.3 Ncuben tutkimus vuodelta 1996......................................................................................43

4.4 Empiirinen tutkimusongelma ja kaytettâvâ aineisto........................................................46

4.4.1 Tutkimusongelmasta.................................................................................................46

4.4.2 FOX-indeksioptiot- ja termiinit................................................................................47



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