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A Study On The Differences Between The Actual And Theoretical Prices Of HongKong Stock Options And The Features

Posted on:2005-12-22Degree:MasterType:Thesis
Country:ChinaCandidate:X D XuFull Text:PDF
GTID:2156360152965639Subject:Business management
Abstract/Summary:PDF Full Text Request
The main contents in this paper can be induced into 5 aspects, a) the theoretical survey of option pricing models; b) the sensitivity analysis of 5 parameters in the Black-Scholes model; c) an analysis of the differences between the actual and theoretical prices of HongKong stock options; d) an analysis of the features of the differences between the actual and theoretical prices of HongKong stock options; e) an analysis of the effects and reasons of the differences between the actual and theoretical prices of HongKong stock options. Generally speaking, it consists of the following five parts:In the first part, the option pricing models before the Black-Scholes model are surveyed theoretically and the common weaknesses of these Econometrics models are pointed out. Then, the Black-Scholes model is surveyed in detail.In the second part, because the sensitivities of 5 parameters in the Black-Scholes model are different respectively, we analyze the sensitivities of 5 parameters in the Black-Scholes model.In the third part, the Black-Scholes model is applied in the demonstration research of 33 HongKong stock options and the theoretical prices of them are calculated by this model. Then, the differences between the actual and theoretical prices of HongKong stock options are analyze.In the fourth part, the features of the differences between the actual and theoretical prices of HongKong stock options are analyzed.In the fifth part, the effects and reasons of the differences between the actual and theoretical prices of HongKong stock options are analyzed in detail. In the last, some suggestions about the development of stock options market in Chinese mainland in the future are put forward.
Keywords/Search Tags:Black-Scholes model, option pricing, stock option, Call/Put option
PDF Full Text Request
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