1990 Fiscal Year Final Research Report Summary
An Application of Option Pricing Model for Financial Management
| Project/Area Number |
63530069
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| Research Category |
Grant-in-Aid for General Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Research Field |
商学・経営学
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| Research Institution | University of Toyama (1989-1990)
富山県立大谷短期大学 (1988) |
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Principal Investigator |
TANAKA Sachiko Toyama Univ., Fac. of Economics, Prof.,, 経済学部 教授 (00089004)
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| Co-Investigator(Kenkyū-buntansha) |
MATUURA Akihide Toyama Prefectural Cal., of Technology, Applied Math., Assistant,, 応用数学科, 教務職員 (70089035)
MATUDA Sigeo Toyama Prefectural Col., of Technology, Applied Math., A. P.,, 応用数学科, 助教授 (70089019)
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| Project Period (FY) |
1988 – 1990
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| Keywords | NikkeiーHeikin Index Option / Option Pricing / Trading Volume / Open Interest / volatility / B=S model / Investment Strategy / Gulf War |
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| Research Abstract |
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.
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