Το Υπόδειγμα Αποτίμησης Περιουσιακών Στοιχείων (CAPM), το Μοντέλο Black-Scholes και η σύνδεσή τους με στρατηγικές αντιστάθμισης κινδύνων
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Keywords
CAPM ; Διαφοροποίηση χαρτοφυλακίου ; Μοντέλο Black-Scholes-Merton ; Αντιστάθμιση κινδύνου ; Δέλτα HedgingAbstract
In this dissertation, we present two significant valuation / pricing models in financial science. The first model concerns the valuation of assets, known as the Capital Asset Pricing Model (CAPM), while the second focuses on the pricing of options, known as the Black-Scholes-Merton model. Initially, we analyze the theoretical background and the mathematical foundation of the CAPM, emphasizing the relationship between risk and return, as well as the efficient diversification of portfolios. Subsequently, we examine the modeling of stock price behavior through stochastic processes and introduce the Black-Scholes-Merton partial differential equation, which serves as the basis for option evaluation. Finally, we analyze risk hedging strategies, with a particular focus on Delta Hedging, while also providing useful examples and drawing key conclusions that contribute to the understanding of the application of these models in financial markets. Through this study, the importance of these theoretical models in financial risk management and investment decision-making is highlighted.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διαχείριση ΚινδύνωνDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
96Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα