Stock options in Singapore : the Black & Scholes option pricing model
With the revival of options trading in Singapore and the growing interest in derivative securities, our group attempts to undertake a study on the mechanics and concepts underlying the trading of stock options in Singapore. Our main empha...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/55588 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | With the revival of options trading in Singapore and the growing interest in derivative
securities, our group attempts to undertake a study on the mechanics and concepts
underlying the trading of stock options in Singapore. Our main emphasis is to test the
accuracy of the Black-Scholes Options Pricing Model. In addition, the correlation
between the various implied volatilities are also briefly discussed.
The stock options of Keppel Corporation Limited, Natsteel Limited and SIA Foreign
are used in our research study. Data collected were from 02/06/93 to 23/09/93 .
In conclusion, our test results shows that the Black-Scholes Option Pricing Model
generally tends to overprice stock options. In addition, the use of historical volatility
in the calculation of option prices may not be relevant. Instead, implied volatlity
appears to be a better alternative to historical volatility. |
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