DocumentCode
2176998
Title
Is it reasonable to price options in China´s stock market by Black-Scholes Option Pricing formula?
Author
Yin, Xiangfei
Author_Institution
Econ. & Trade Sch., Hunan Bus. Univ., Changsha, China
fYear
2011
fDate
9-11 Sept. 2011
Firstpage
874
Lastpage
877
Abstract
At first, this paper deduces that European call option price equals the sum of total loss discounted to time 0 which is brought about by adjusting the share of stock in order to make the portfolio which includes the option and a certain number of underlying stock to be a risk-free portfolio at any time during the valid period. Based on this theory, whether Black-Scholes Option Pricing formula is suitable to price the options in China´s stock market is studied in this paper, and hypothesis test shows that pricing the options by this formula in China´s stock market isn´t reasonable in most case.
Keywords
pricing; stock markets; Black-Scholes option pricing formula; China; European call option price; price options; risk-free portfolio; stock market; Buildings; Equations; Europe; Mathematical model; Portfolios; Pricing; Stock markets; Call Options; Hedging; Loss; Risk-free portfolio;
fLanguage
English
Publisher
ieee
Conference_Titel
Electronics, Communications and Control (ICECC), 2011 International Conference on
Conference_Location
Ningbo
Print_ISBN
978-1-4577-0320-1
Type
conf
DOI
10.1109/ICECC.2011.6066609
Filename
6066609
Link To Document