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Zdroje a meze racionality opčního obchodování


Finance

Zdroje a meze racionality opčního obchodování

Name and surname of author:

Jan Vlachý

Year:
2013
Volume:
16
Issue:
4
Keywords:
Financial history, options trading, market research, market efficiency
DOI (& full text):
Anotation:
Since its publication in 1973, the Black-Scholes model has become synonymous with scientific method in finance, it has paved the ground for model-based trading and investing, and gained a Nobel Prize…more
Since its publication in 1973, the Black-Scholes model has become synonymous with scientific method in finance, it has paved the ground for model-based trading and investing, and gained a Nobel Prize.
Nobel Prize. Based on extensive research, this paper demonstrates that 1973 cannot be perceived as the unequivocal inception date of rational options trading, however. Furthermore, there is a good case to be made against indiscriminate use of equilibrium-based models. Arguably, various benchmarking and hedging approaches, used by numerous pre-Black-Scholes practitioners, may have had perfectly sound merit, while the formula’s great popularity as a heuristic for rapidly expanding markets in the late 20th Century has turned it into a curse, altering traders‘ and investors‘ behaviour, as well as the nature of financial crises.
Detailed coverage of the development of corresponding economic thought and research starts in Europe due to its leading and innovative role before World War II, and then passes on to the United States, in line with the redeployment of global economic power. Tight collaboration and swift transmission of ideas between various pre-war markets, as well as academia is shown to be in stark contrast with the subsequent economic and financial breakdown, corresponding to a breach in the continuity of finance research.
Complementing the global view, similar points are being made using historical Czech resources. These show that Czechoslovakia used to be an integral part of the global financial environment before becoming part of the Soviet bloc. Two notable personalities of outstanding stature are also introduced, Gustav Flusser (1885–1940) and Oldřich Vašíček (*1942), whose biographies illustrate the development of financial economics, as well as corollaries of political and social forces.
Section:
Finance

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