An Application of Option Pricing Model for Financial Management

本研究考察了日经-海金指数期权。计算基于1989年6月12日至1989.1年12月28日的每日数据，回归模型建立了看涨期权的看跌期权交易量。证据表明，看涨期权的交易量与看跌期权的交易量呈负相关。第二，看涨（或看跌）期权价格由开盘价与Black=Scholes理论价格、日经-海金收盘价之差及其历史波动率来解释。看跌模型不太适合于买入。第三，对近期数据的手绘分析给我们提供了一些文件。海湾战争反映在股票、期货和期权市场上。日经- heikin隐含波动率在战争期间如此之高。历史数据显示，投资者不应如此准确地预测该指数成交量，但期权策略给他们带来了一些溢价，在动荡的市场中，而且他们有机会以低价回归。指数期权提供了新的途径，使许多新的投资策略在日本成为可能。

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.