Pricing of options : an empirical study using Black-Scholes model

• Main Authors: Cheong, Eric Chin Lee, Chew, Hoe Chye, Loh, Poh Ho
• Other Authors: Keshab Man Shrestha
• Format: Final Year Project
• Language: English
• Published: 2015
• Subjects: DRNTU::Business::Finance
• Online Access: http://hdl.handle.net/10356/63552
• Institution: Nanyang Technological University

The options market in Singapore is still in its adolescence stage of development. The Stock Exchange of Singapore (SES) has just launched options trading in March, 1993. Trading had been slow initially. This can be attributed to the unfamiliarity of the market players to this new instrument. Since the slow start, options trading has picked up and when investors grew more familiar with it. It is the aim of this project to test the accuracy of Black and Scholes model in predicting option prices. At the same time we hope to provide a better insight into options-trading using the concepts of the model. By testing the ability of the Black-Scholes model in predicting the price of options accurately, we hope to establish it as an important tool in the options market. This project also aim to create awareness of the option instrument in the market. The success of option trading would surely go a long way in establishing Singapore as one of the top financial centre.