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Научный семинар 07 ноября: Бохумил Стадник (University of Economics in Prague)

Тема: Where Is the Trouble of Black–Scholes?
Докладчик: Бохумил Стадник (University of Economics in Prague)
Дата и время: 07 ноября 2019 года, 18:00 - 19:30
Место: Санкт-Петербург, набережная Фонтанки, д.27 ПОМИ РАН, Мраморный зал (2й этаж)
Рабочий язык: английский

Приглашаем принять участие в первом совместном Исследовательском семинаре НИУ ВШЭ - Санкт-Петербург и Европейского университета в Санкт-Петербурге 07 ноября 2019 года.

Бохумил Стадник (University of Economics in Prague) выступит с докладом Where Is the Trouble of Black–Scholes?.

Время: 18:00-19:30

Место: Санкт-Петербург, Набережная Фонтанки, д.27, ПОМИ РАН, Мраморный зал (2-й этаж)
Аннотация:
In this financial engineering research, we confirm that the valuation of European styled options using Black-Scholes formula is not in the accordance with the market valuation (we study the situation of DAX options - ODAX, traded on EUREX exchange and also of SP500 options – SPX Weeklys (SPXW), traded on Cboe …) The discrepancy between market price and result of Black-Scholes formula is usually considered to be caused by a problematic underlying asset volatility expectation but from the research it is obvious that the presumption about the process which is used for a description of underlying price development could be also the reason. In addition we valuate the option premium using other models for underlying price development (not only the Geometric Brownian Motion as in case of Black-Scholes) and moreover we also obtain retrospectively the fair value, which does not provide longtime advantage between holding a long or a short option position till expiration; or in other words, if we repetitively hold till expiration a long call (by the way of example) position, we will obtain zero P/L in longtime average. The purpose of this research is also to simplify this theoretically complicated topic for financial practitioners.

Расписание семинаров доступно по ссылке: https://spb.hse.ru/scem/ilgt/hse-eusp-seminar
Ссылка на календарь событий: https://tinyurl.com/spbecon