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Valószínűség, esély, relatív súlyok. Opciók és reálopciók (Probability, chance, relative weights)

Száz, János (2011) Valószínűség, esély, relatív súlyok. Opciók és reálopciók (Probability, chance, relative weights). Hitelintézeti Szemle, 11 (4). pp. 336-348.

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Official URL: http://www.bankszovetseg.hu/anyag/feltoltott/336_348_szaz.pdf


Abstract

There is a long debate (going back to Keynes) how to interpret the concept of probability in economics, in business decisions, in finance. Iván Bélyácz suggested that the Black–Scholes– Merton analysis of fi nancial derivatives has a contribution to this risk vs. uncertainty debate. This article tries to interpret this suggestion, from the viewpoint of traded options, real options, Arrow–Debreu model, Heath–Jarrow–Morton model, insurance business. The article suggests making clear distinction and using different naming ● when the frequents approach and the statistics is relevant, ● when we just use consequent relative weights during the no-arbitrage pricing, and these weight are just interpreted as probabilities, ● when we just lack the necessary information, and there is a basic uncertainty in the business decision making process. The paper suggests making a sharp distinction between fi nancial derivatives used for market risk management and credit risk type derivatives (CDO, CDS, etc) in the reregulation process of the fi nancial markets.

Item Type:Article
Subjects:Mathematics, Econometrics
Finance
ID Code:531
Deposited By: Ádám Hoffmann
Deposited On:27 Feb 2012 10:01
Last Modified:07 Sep 2012 07:51

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