xiang2009
Oct 18, 2009
Research Papers / The pricing tools, Black's model - assignment for Master level [5]
Hi Anyone can help me to check my writing? Please
Hi Anyone can help me to check my writing? Please
xiang2009
Oct 17, 2009
Research Papers / The pricing tools, Black's model - assignment for Master level [5]
Hi everyone,
I had take some research, my english is not very good as I don't have many good words to mention the report. Please help me to check any words, gammas, or ideas if it's wrong. I list my first part of my assignment, I will post more when I finish more. Thanks so mcuh
Abstract
This paper focuses on analysis the interrelationship between two major index option markets which is Standard & Poors's 500 INDEX FUTURE (CME) CONT. CALL in US and SPI 200 INDEX CONTINUOUS CALL in Australia. High-frequency data has been used to capture valuable statistic information in interrelationship between index option markets. Several useful statistic issues has been used to in four ways: (1) illustrate that show the distributions that index options price normally followed, (2) illustrate that the relation of population means between two major index option markets in US and Australian, (3) illustrate that the relation of the variances or volatility in US index option market and Australian index option market. (4) Illustrate that the co-movement of US index option market with Australian index option market. Furthermore, examination whether volatility arbitrage opportunities exist from analysis the volatility of index options in US market and Australian market.
1. Introduction
The index option markets in financial derivative market growth rapidly in recent years. The major role and importance of index option market was used by most companies to hedge related risks such as business risk, economic risk and foreign exchange risk. There are minority parties such as speculator and arbitrager exist in these markets as well. Notwithstanding the arbitrager is the small parties, they play an important role in the market. ALL pricing of derivatives is done by arbitrage, and by arbitrage alone. In other words, basic economics dictates a relationship between the price of the spot and the price of a futures. If this relationship is violated, then an arbitrage opportunity is available, and when people exploit this opportunity, the price reverts to its economic value. Over all, arbitrage is basic to pricing of derivatives. Without arbitrage, there would be no market efficiency in the derivatives market: prices would stray away from fair value all the time. The Derivatives Market Growth was about 30% in the first half of 2007 when it reached a size of $US 370 trillion. Derivative market can play a vital role in promotion market efficiency through better price discovery, risk transfer, and transaction integrity. The development of option market especially in index option market in US was the fastest. Such exchange of index option market in US includes Standard & Poor's 500 (SPX), Standard & Poor's 100 (OEX), the NASDAQ-100 Index (NDX), the New York Stock Exchange Composite Index (NYA) and Dow Jones Industrial Average (INDU) and so on. The exchange of index option in Australia was Standard & Poor's 200. The exchange in US much more than Australia, so that's important to know the relationship between these two countries for an indicator of Australian index option market.
Hi everyone,
I had take some research, my english is not very good as I don't have many good words to mention the report. Please help me to check any words, gammas, or ideas if it's wrong. I list my first part of my assignment, I will post more when I finish more. Thanks so mcuh
Abstract
This paper focuses on analysis the interrelationship between two major index option markets which is Standard & Poors's 500 INDEX FUTURE (CME) CONT. CALL in US and SPI 200 INDEX CONTINUOUS CALL in Australia. High-frequency data has been used to capture valuable statistic information in interrelationship between index option markets. Several useful statistic issues has been used to in four ways: (1) illustrate that show the distributions that index options price normally followed, (2) illustrate that the relation of population means between two major index option markets in US and Australian, (3) illustrate that the relation of the variances or volatility in US index option market and Australian index option market. (4) Illustrate that the co-movement of US index option market with Australian index option market. Furthermore, examination whether volatility arbitrage opportunities exist from analysis the volatility of index options in US market and Australian market.
1. Introduction
The index option markets in financial derivative market growth rapidly in recent years. The major role and importance of index option market was used by most companies to hedge related risks such as business risk, economic risk and foreign exchange risk. There are minority parties such as speculator and arbitrager exist in these markets as well. Notwithstanding the arbitrager is the small parties, they play an important role in the market. ALL pricing of derivatives is done by arbitrage, and by arbitrage alone. In other words, basic economics dictates a relationship between the price of the spot and the price of a futures. If this relationship is violated, then an arbitrage opportunity is available, and when people exploit this opportunity, the price reverts to its economic value. Over all, arbitrage is basic to pricing of derivatives. Without arbitrage, there would be no market efficiency in the derivatives market: prices would stray away from fair value all the time. The Derivatives Market Growth was about 30% in the first half of 2007 when it reached a size of $US 370 trillion. Derivative market can play a vital role in promotion market efficiency through better price discovery, risk transfer, and transaction integrity. The development of option market especially in index option market in US was the fastest. Such exchange of index option market in US includes Standard & Poor's 500 (SPX), Standard & Poor's 100 (OEX), the NASDAQ-100 Index (NDX), the New York Stock Exchange Composite Index (NYA) and Dow Jones Industrial Average (INDU) and so on. The exchange of index option in Australia was Standard & Poor's 200. The exchange in US much more than Australia, so that's important to know the relationship between these two countries for an indicator of Australian index option market.
xiang2009
Oct 13, 2009
Research Papers / The pricing tools, Black's model - assignment for Master level [5]
ok, thanks for your commence. I try to find some idea first, and then get help from you thanks.
ok, thanks for your commence. I try to find some idea first, and then get help from you thanks.
xiang2009
Oct 13, 2009
Research Papers / The pricing tools, Black's model - assignment for Master level [5]
Hi everyone,
I have an assignment for Master level. I really need some comments and idea for my assignment. My assignment title is ' the study of interrelationship of Australian index option market and US index option market'.
please give me some idea about the main body of the assignment like what I need to argue or research and any related Literature I can read if it's possible.
The idea I have at moment was the pricing tools for these market was Black's model. I believed that there are some slightly differences between the different countries, and I will try to find these. Thanks for helping.
Hi everyone,
I have an assignment for Master level. I really need some comments and idea for my assignment. My assignment title is ' the study of interrelationship of Australian index option market and US index option market'.
please give me some idea about the main body of the assignment like what I need to argue or research and any related Literature I can read if it's possible.
The idea I have at moment was the pricing tools for these market was Black's model. I believed that there are some slightly differences between the different countries, and I will try to find these. Thanks for helping.