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Stochastic Pricing

Gerhard Schroeder ()

International Finance from University Library of Munich, Germany

Abstract: Critics regarding the Black and Scholes model aren't new. The model was about of being labelled 'historic'. It is new now that the model has become an auto-nomous, unreflected item in international accounting standards and law allowing "creative" accounting. There is no economial relation between the future value of an underlying and it's current volatility. Predictions - pricing of derivatives means predicting - remain uncertain. Findings are based on empirical, experimental techniques using fictituous derivatives, others.

Keywords: Black Scholes; FASB; IAS; IFRS; Accounting; fair value; option pricing; stochastic pricing; derivatives (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-fmk
Date: 2005-10-16, Revised 2006-01-30
Note: Type of Document - pdf; pages: 27
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Handle: RePEc:wpa:wuwpif:0510019