Definition_
Future market or system that allows trading of KOSPI 200 stock
index futures from 6:00 p.m. to 5:00 a.m.
Function_
Time expansion: 9:00 a.m. - 3:15 p.m. + 6:00 p.m. - 5:00 a.m.
Reduce risks arising from external variable
Plan out investment strategies
Increase overall liquidity of market
Reduce volatility caused by changes in foreign
volatility is: σ=s/√τ,with s=√(1/(n-1) ∑▒〖(u_i-u ̅)〗^2 ),and u_i=ln(S_i/S_(i-1) ).
We calculate 125 u_i, its average is 0.000737. Since n is 125, s is 0.009867924 and σ (historical volatility) is 1.4125%.
Part 2.
For this part and later parts, we prepared market option prices and risk-free rate. First, we got the call and put options on XOM stock with
Volatility>
- Volatility Curve for Put options
- Volatility Curve for Call options
Part 6. Biases in the Black-Scholes Formula
Current Stock Price : S= 46.58
Suppose, ATM = 47
for the ATM Call, imp-vol : 28.4747….=28.48%
Plug, sigma = 28.48%
Using BSOPM to get the Call/Put option prices.
BSOPM Market
Strike Price BSOPM-Call BSOPM-Put Market-Call Market-Put
40 7.06
Stock Price=Call Option+PV of Exercise Price
There the price of a put option can be written as
P=E×e-Rt+C-S
4) Effects of OPM Factors on the Value of a Call and a Put Option
(1) Increasing the stock price increases call values and decreases put values.
(2) The effect of increasing the standard deviation is positive and pronounced
for both puts and calls
(3) Increasi
stock selling)
말 그대로 ‘없는 걸 판다’란 뜻으로 주식이나 채권을 가지고 있지 않은 상태에서 매도주문을 내는 것을 말한다. 이렇게 없는 주식이나 채권을 판 후 결제일이 돌아오는 3일 안에 주식이나 채권을 구해 매입자에게 돌려주면 된다. 약세장이 예상되는 경우 시세차익을 노리는 투자자가 활