The Sensitivity Analysis of risk-free interest rate and index option

• Main Authors: Chia-Te Chen, 陳家德
• Other Authors: Chien-Shin Huang, Ph.D.
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/02960594402445982653

碩士 === 銘傳大學 === 經濟學研究所 === 91 === After the index option lists on the future market, it affects properly in the financial market in Taiwan. Beside adrenalize the stock market and future market, it offers investors other kinds of tools such as hedge and arbitrage. In Black and Scholes(1973) European-style option model, this study focuses on the part of the risk-free interest rate, and researches the price of option whether it contains the sensitivity of interest rate or not, which is the option market can be affected by the change of interest rate or not. The result shows when call and put are deeply In-The-Money, the change of interest rate affects the price of call and put significantly. When call and put are deeply Out-of-The-Money, the change of interest rate will not affect the price of call and put. Above result fits the hypothesis of Black and Scholes(1973) European-style option model.