Author/Authors
KABAKÇI, Ali Dokuz Eylül Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - İşletme Bölümü, Turkey
Title Of Article
REVIEW OF OPTION SENSITIVITY PARAMETERS
شماره ركورد
13961
Abstract
Traders of option market prefer to use basic pricing model with few parameters than use new and untested models due to the need and purchasing decisions of hedge transactions. A pricing model with less and reliable parameters is beneficial for option traders in terms of use. Therefore, prices that are commonly received by traders form an important indicator of decision making for traders. Price that is easily calculated and generally accepted has fair price quality and affects purchasing decisions directly. Besides purchasing decisions, traders must protect the portfolios against risk. Thus, especially in option transactions, option sensitivity parameters which are improved on options should be used. In this research, the effect of option sensitivity parameters on option price changes is examined. Option prices are formed by deriving stock prices with Geometric Brownian Movement and sensitivity parameters are calculated by using prices. In research, Black Scholes Option Pricing Theory is used so; assumptions of model is accepted but drawbacks of assumptions are discussed.
From Page
87
NaturalLanguageKeyword
Option , Option Sensitivity , Option Sensitivities Parameters
JournalTitle
dokuz eylul university the journal of graduate school of social sciences
To Page
103
JournalTitle
dokuz eylul university the journal of graduate school of social sciences
Link To Document