| Summary: | 碩士 === 中原大學 === 企業管理學系 === 85 ===
The purpose of this paper is to test the quadratic approximation of theAmerican call option on a futures contract derived by Barone-Adesi and Whaley. The methodologies used to estimate the standard deviation of the futures changes relative are historical standard deviation and implied standard derivation. The basic concept of this paper is comparing the market call option value with the model value, in order to understand if the call option valve can correctly approximate the market call option value, and trying to explain the mispricing errors. The data used in this study consist of transaction information for the S&P500 equity futures and futures option contracts traded on the Chinago Mercantile Exchange (CME) from the first day of trading of the S&P futures options, January 1,1996, through the last business day of the year, December 30, 1996. The major empirical results are as follows:
1.From the Signal Test we find that the call options got by HSD base are underpriced, while the ones got by ISD base can correctly approximate the market call options values.
2.No matter using HSD base or ISD base to approximate the call options' values, there exists the exercise price and time to expiration biases. We find the average bias got by the ISD base is lower than the one got by the HSD base.
3.The implied standard deviation methodology is better than the historical standard deviation methodology.
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