분야
hwp2. THE BLACK-SCHOLES OPTION PRICING MODEL
1) Assumptions
2) The Call Option Pricing Formula
3) Put Option Valuation
4) Effects of OPM Factors on the Value of a Call and a Put Option
3. The process of getting Black-Scholes option price
1) Calculating Theoretical Price by Black-Scholes
2) Reasons Why Actual Price and Theoretical Price are Different
(1) Perfect Market
(2) Constant Risk-free Rate and the Stock's Volatility
(3) No Dividends
(4) European Option Which Can Exercise Only in the Expiration Date.
(5) Continuous Transactions of Stock
4. Multiple Regression model
motivated from Black-Scholes Model
1) The process of getting Multiple regression model
2) Comparing Between Three Real Call Option Price, Black-Scholes Estimates, and Our Regression Estimates
3) Correlation Analysis for Each Independent Variables
(1) Stock Price
(2) Stock Price Volatility
(3) Time to Maturity
(4) Strike Price (=Exercise Price)
(5) Risk-free Rate
5. Conclusion
A Pall Option confers the right on its holder, without the obligation, to sell the underlying asset at a certain date for a certain price. Only a little extra work is needed to value put options. Basically , we just pretend that a put option is a call option and use the Black-Scholes formula to value it. We then use the put-call parity condition to solve for the put value. Put-call parity requires that
Put Option+Stock Price=Call Option+PV of Exercise Price
There the price of a put option can be written as
P=E×e-Rt+C-S
4) Effects of OPM Factors on the Value of a Call and a Put Option
(1) Increasing the stock price increases call values and decreases put values.
(2) The effect of increasing the standard deviation is positive and pronounced
for both puts and calls
(3) Increasing the risk-free rate has a positive impact on call values and a negative impact on put values
(4) For both puts and calls, increasing the time to expiration has a positive effect on option value. An option is therefore a wasting asset: its value declines as time goes by, all held constant