Effectiveness of the black-scholes model on pricing Nikkei 225 index futures options.

Effectiveness of the black-scholes model on pricing Nikkei 225 index futures options.

This study aims to evaluate the effectiveness of the Black-Scholes model in pricing both call and put options on the Nikkei 225 Index futures. As there is an increased interest in the derivatives market in the recent years, we are motivated to find a model that can price options effectively. Data us...

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Main Authors: Cheong, Lay Yen., Seah, Tracy Gek Li., Soon, Suat Yen.
Other Authors: Nanyang Business School
Format: Final Year Project
Language:English
Published: 2013
Subjects:
DRNTU::Business
Online Access:http://hdl.handle.net/10356/51812
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-518122023-05-19T06:24:03Z Effectiveness of the black-scholes model on pricing Nikkei 225 index futures options. Cheong, Lay Yen. Seah, Tracy Gek Li. Soon, Suat Yen. Nanyang Business School Bobby S. Srinivasan DRNTU::Business This study aims to evaluate the effectiveness of the Black-Scholes model in pricing both call and put options on the Nikkei 225 Index futures. As there is an increased interest in the derivatives market in the recent years, we are motivated to find a model that can price options effectively. Data used in this study is obtained from "The Business Times" from July 1994 to June 1995. This study spans across one year and covers contracts that mature in December 1994, March 1995 and June 1995 with strike prices of 17000, 18000, 19000 and 20000. BUSINESS 2013-04-11T05:56:36Z 2013-04-11T05:56:36Z 1996 1996 Final Year Project (FYP) http://hdl.handle.net/10356/51812 en Nanyang Technological University 126 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business
spellingShingle DRNTU::Business
Cheong, Lay Yen.
Seah, Tracy Gek Li.
Soon, Suat Yen.
Effectiveness of the black-scholes model on pricing Nikkei 225 index futures options.
description This study aims to evaluate the effectiveness of the Black-Scholes model in pricing both call and put options on the Nikkei 225 Index futures. As there is an increased interest in the derivatives market in the recent years, we are motivated to find a model that can price options effectively. Data used in this study is obtained from "The Business Times" from July 1994 to June 1995. This study spans across one year and covers contracts that mature in December 1994, March 1995 and June 1995 with strike prices of 17000, 18000, 19000 and 20000.
author2 Nanyang Business School
author_facet Nanyang Business School
Cheong, Lay Yen.
Seah, Tracy Gek Li.
Soon, Suat Yen.
format Final Year Project
author Cheong, Lay Yen.
Seah, Tracy Gek Li.
Soon, Suat Yen.
author_sort Cheong, Lay Yen.
title Effectiveness of the black-scholes model on pricing Nikkei 225 index futures options.
title_short Effectiveness of the black-scholes model on pricing Nikkei 225 index futures options.
title_full Effectiveness of the black-scholes model on pricing Nikkei 225 index futures options.
title_fullStr Effectiveness of the black-scholes model on pricing Nikkei 225 index futures options.
title_full_unstemmed Effectiveness of the black-scholes model on pricing Nikkei 225 index futures options.
title_sort effectiveness of the black-scholes model on pricing nikkei 225 index futures options.
publishDate 2013
url http://hdl.handle.net/10356/51812
_version_ 1770566192568729600

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