An Application of Option Pricing Model for Financial Management

点击翻译按钮获取中文摘要

This study examines Nikkei-Heikin Index Option. The Calculations is based on the daily data from the 12th of June, 1989 through the 28th of Dec., 1989.1st, a regression model set up the put option trading volume-for the call. The evidence indicates that the call option trading volume negatively related to the put volume.2nd, the call (or put) option price is explained by the difference between opening price and Black=Scholes theoretical price, Nikkei-Heikin closing price, and its historical volatility. The put model is not so fit as to the call.3nd, a freehand analysis on recent data gives us some documents. Gulf War reflected on the stock, the future and the option market. Nikkei-Heikin implied volatilities were so high through War.The historical data showed investors should not predict the Index volume so well, but option strategies brought them some premiums, in the volatile market, moreover they had a chance to return in box zorn. Index Options offer new ways to make possible a number of new investment strategies in Japan.