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News

HSE SPb & EUSP Research Seminar on November, 07: Bohumil Stadnik (University of Economics in Prague)

Topic: Where Is the Trouble of Black–Scholes?
Date & Time: November, 07; 18:00 - 19:30
Venue: St Petersburg, Fontanka river embankment, 27, PDMI RAS, Marble hall (2nd floor)

We invite you to participate in the HSE in St Petersburg and European University in St Petersburg Research seminar on November, 07.

Bohumil Stadnik (University of Economics in Prague) will give a talk on Where Is the Trouble of Black–Scholes?

Time: 18:00 - 19:30

Venue: St Petersburg, Fontanka river embankment, 27, PDMI RAS, Marble hall (2nd floor)

Abstract: 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.


Calendar: https://tinyurl.com/spbecon
Research seminar webpage: http://scem.spb.hse.ru/en/ilgt/hse-eusp-seminar