The study of option pricing models

• Main Authors: Ming Ta, Tsai, 蔡明達
• Other Authors: Chao Yang, Hong
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/61567943253981875246

碩士 === 大葉大學 === 會計資訊學系碩士班 === 96 === This study focuses on binomial and trinomial option pricing models and compares the predictability between the binomial option pricing model (BOPM) and trinomial option pricing model (TOPM) empirically. After the establishment of the BOTM and the TOPM, the data of Taiwan Stock Exchange Electronic Sector Index (TEO) and Taiwan Stock Exchange Finance Sector Index (TFO) issued by Taiwan Futures Exchange (TAIFEX) is put into the models. According to simulated prices from the models, this study examines the analysis of investment decisions and then finds out the better buy-or-sale decision for investors. This study put TEO and TFO, expired at June, 2007, into simulation empirically. In the estimated theoretical price of TEO, the investment decisions made by BOPM are as the same as TOPM. Both BOPM and TOPM offer correct investment suggestions for investors. In the estimated theoretical price of TFO, the investment decisions made by BOPM are better than TOPM. BOPM offers better investment suggestions for investors.