EconPapers    
Economics at your fingertips  
 

Systematics of Advanced Capital Market Models based on Empirical Research

Gerhard Schroeder ()

International Finance from EconWPA

Abstract: The complex blue prints of ODE and PDE based capital market models remain closed to systematic review. Particularly, when some authors of mathematical models can not or may not offer explicit solutions. Artificially generated 'cloned' courses can demonstrate the impact of various types of stochastic volatility in these cases. The Black and Scholes formula has the disadvantage that its key variable, the (future) volatility. is not known. In fact, what is known is that the volatility is volatile itself and the assumption of a stable volatility is violated. The socalled advanced models try to model the stochastic volatility. However, this still implies assumptions how a particular volatility may (or may not) develope until a given point of time. An analysis of key indexes shows stochastic properties difficult to cover in mathematical models yet being still interesting.

Keywords: Model Systematics; Black Scholes; fair value; option pricing; mispricing; artificially generated 'cloned' quotations; stochastic volalatility; mean reversion; test methods; testing capital market models; experimental economical research; ODE; PDE; hyperbolic; index particularities (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn and nep-fmk
Date: 2005-12-14
Note: Type of Document - pdf; pages: 28. First Systematics of advanced Capital Market Models
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://econwpa.repec.org/eps/if/papers/0512/0512003.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpif:0512003

Access Statistics for this paper

More papers in International Finance from EconWPA
Series data maintained by EconWPA ().

 
Page updated 2017-06-25
Handle: RePEc:wpa:wuwpif:0512003