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Title: Effectiveness of the black-scholes model on pricing Nikkei 225 index futures options.
Authors: Cheong, Lay Yen.
Seah, Tracy Gek Li.
Soon, Suat Yen.
Keywords: DRNTU::Business
Issue Date: 1996
Abstract: This study aims to evaluate the effectiveness of the Black-Scholes model in pricing both call and put options on the Nikkei 225 Index futures. As there is an increased interest in the derivatives market in the recent years, we are motivated to find a model that can price options effectively. Data used in this study is obtained from "The Business Times" from July 1994 to June 1995. This study spans across one year and covers contracts that mature in December 1994, March 1995 and June 1995 with strike prices of 17000, 18000, 19000 and 20000.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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