지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술대회자료
- 저자정보
- 발행연도
- 2008.11
- 수록면
- 1,057 - 1,064 (8page)
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초록· 키워드
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Black and Scholes published the seminal paper "The Pricing of Option and Corporate Liabilities" in 1973. The Black-Scholes model marked an epoch in trading options in an orderly market with well-defined contracts in 1973. And thanks to their contribution, much research on valuing options has been actively conducted. For instance, Cox, Ross, Rubinstein proposed a binomial lattice option pricing model in 1976.
In Korea, the option market was introduced with the KOSPI200 stock index option at the 7th day of July in 1997. Since then, the option market has been steadily growing. As the option market grows, it is required that the investors obtain an accurate option value. However, it is not easy to get the accurate option value mainly due to the volatility of the options. In this thesis, we will analyze the option pricing models to compare the theoretical option values with the option prices trading in a real market.
As the option pricing models to provide a theoretical option values, Black-Scholes and a binomial lattice option pricing models, most widely used, will be employed and a Monte Carlo simulation will be performed for option price presumption and analysis. For the empirical analysis purpose, we will use the KOSPI200 stock index option data from January to December in 2006. The data was collected from a daily closing stock and option prices. For the comparison purpose, we will conduct a statistical analysis with the data collected to take a validity test.
In Korea, the option market was introduced with the KOSPI200 stock index option at the 7th day of July in 1997. Since then, the option market has been steadily growing. As the option market grows, it is required that the investors obtain an accurate option value. However, it is not easy to get the accurate option value mainly due to the volatility of the options. In this thesis, we will analyze the option pricing models to compare the theoretical option values with the option prices trading in a real market.
As the option pricing models to provide a theoretical option values, Black-Scholes and a binomial lattice option pricing models, most widely used, will be employed and a Monte Carlo simulation will be performed for option price presumption and analysis. For the empirical analysis purpose, we will use the KOSPI200 stock index option data from January to December in 2006. The data was collected from a daily closing stock and option prices. For the comparison purpose, we will conduct a statistical analysis with the data collected to take a validity test.
목차
Abstract
1. 서론
2. 옵션가격 결정 모델
3. 옵션가격에 영향을 미치는 요인과 추정
4. 옵션의 실증적 연구
5. 결론
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UCI(KEPA) : I410-ECN-0101-2013-530-003327086