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

• 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
• Institution: Nanyang Technological University

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...