Black-Scholes option pricing model and testing the option prices stability
2011
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Advisor: Doç. Dr. Güçkan Yapar
Abstract (EN)
Derivatives have moved to the center of modern corporate finance, investments, and the management of financial institutions. In our study topics such as derivatives, types of derivatives, their features and differences, derivatives markets, which these derivatives are put into action and their features, were mentioned. Later, options, which is one of the most dependable means of hedging, and their development were investigated in detail. Here, the most important factors for options were mentioned and the basic effects of these factors on determining the price of the option were tried to be analyzed.Afterwards, option pricing models were defined and how to perform option pricing were sampled. The most widely used model, which revolutionized option pricing, namely Black-Scholes (BS) option model and the hypotheses on which the model is based, were explained as they constituted the basic structure of the study. Then, based on the hypothesis that, in BS model, option prices show a Stable distribution, the relation between Stable distribution and normality was touched on.In application we tested, using Anderson-Darling Normality Test, whether it is a normal distribution or not, by calculating the option prices of stock issue options in BS model. In this way, we have performed the hypothetical conformity of the BS option pricing model in terms of stock issue options through a statistical approach.
Author
Dr. Eray Akgün
How to Cite
Eray Akgün (Master Thesis). Black-Scholes option pricing model and testing the option prices stability, 2011, Dokuz Eylül University.
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