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...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/55588 |
| _version_ | 1811691651191537664 |
|---|---|
| author | Ang, Kwee Song Foo, Sze Peng Wong, Wendy Woon Teng |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Ang, Kwee Song Foo, Sze Peng Wong, Wendy Woon Teng |
| author_sort | Ang, Kwee Song |
| collection | NTU |
| description | 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. |
| first_indexed | 2024-10-01T06:23:16Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/55588 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:23:16Z |
| publishDate | 2014 |
| record_format | dspace |
| spelling | ntu-10356/555882023-05-19T05:44:57Z Stock options in Singapore : the Black & Scholes option pricing model Ang, Kwee Song Foo, Sze Peng Wong, Wendy Woon Teng Nanyang Business School Keshab M Shrestha DRNTU::Business 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. BUSINESS 2014-03-17T11:38:18Z 2014-03-17T11:38:18Z 1995 1995 Final Year Project (FYP) http://hdl.handle.net/10356/55588 en Nanyang Technological University 123 p. application/pdf |
| spellingShingle | DRNTU::Business Ang, Kwee Song Foo, Sze Peng Wong, Wendy Woon Teng Stock options in Singapore : the Black & Scholes option pricing model |
| title | Stock options in Singapore : the Black & Scholes option pricing model |
| title_full | Stock options in Singapore : the Black & Scholes option pricing model |
| title_fullStr | Stock options in Singapore : the Black & Scholes option pricing model |
| title_full_unstemmed | Stock options in Singapore : the Black & Scholes option pricing model |
| title_short | Stock options in Singapore : the Black & Scholes option pricing model |
| title_sort | stock options in singapore the black scholes option pricing model |
| topic | DRNTU::Business |
| url | http://hdl.handle.net/10356/55588 |
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