Essays about: "Cornelius Bonz"

Found 1 essay containing the words Cornelius Bonz.

  1. 1. Changes in the creditability of the Black-Scholes option pricing model due to financial turbulences

    University essay from Handelshögskolan vid Umeå universitet

    Author : Andrea Angeli; Cornelius Bonz; [2010]
    Keywords : Investments; Black-Scholes model; financial crisis; option pricing; StockholmOMX30; Lehman Brothers bankruptcy;

    Abstract : This study examines whether the performance of the Black-Scholes model to price stock index options is influenced by the general conditions of the financial markets. For this purpose we calculated the theoretical values of 5814 options (3366 put option price observations and 2448 call option price observations) under the Black-Scholes assumptions. READ MORE