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Stochastic Pricing

Author

Listed:
  • Gerhard Schroeder

    (University of Flensburg, private research)

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.

Suggested Citation

  • Gerhard Schroeder, 2005. "Stochastic Pricing," International Finance 0510019, University Library of Munich, Germany, revised 30 Jan 2006.
    • Handle: RePEc:wpa:wuwpif:0510019
    Note: Type of Document - pdf; pages: 27
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0510/0510019.pdf
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    More about this item

    Keywords

    Black Scholes; FASB; IAS; IFRS; Accounting; fair value; option pricing; stochastic pricing; derivatives;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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