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Title: Stock options in Singapore : the Black & Scholes option pricing model
Authors: Ang, Kwee Song
Foo, Sze Peng
Wong, Wendy Woon Teng
Keywords: DRNTU::Business
Issue Date: 1995
Abstract: 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.
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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