CEU Electronic Theses and Dissertations, 2009
| Author | Muradov, Agil |
|---|---|
| Title | Disadvantages of Derivative Pricing in Scope of the Global Financial Crisis |
| Summary | This thesis investigates possible causes of the Global Financial Crisis. It finds that excessive use of derivatives and “shaky” mathematics behind it played major role in burst of the crisis. It uses tests that check the Black-Scholes model, the most widely used option pricing model and finds that this model contradicts with reality in a number of ways. Special consideration is given to assumptions used in the Black-Scholes model. Nevertheless thesis considers other possible causes that could also lead to the crisis. Among them is the Sub-prime Mortgage Crisis. Thesis uses evidence provided by published papers and offers plausible solution, when possible. |
| Supervisor | Medvegyev, Péter |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2009/muradov_agil.pdf |
Visit the CEU Library.
© 2007-2021, Central European University