| Summary: | 碩士 === 國立暨南國際大學 === 國際企業學系 === 90 === Since Black and Scholes published their option pricing model in 1973, there has been numerous of theoretical and empirical work of option pricing. Black and Scholes’s option pricing formula was just for the evaluation of European-type options, most traded options were American-type options. However, this paper uses American option pricing formula for the evaluation of American options to reduce the mispricing of the American-type options. We use the data of foreign currency futures options from the Chicago Mercantile Exchange（CME）to compare their forecasting performance of various of American option pricing models.
Besides, we examine the relation between volume, In-, At-, and Out-of-the-Money-Classes, the time to maturity of the options, and the degree of underlying asset price return and mispricing in the option pricing model. The result provides some reference value for the enterprises, individuals, and investors.
This study divides the empirical research into two parts：
In the first part, we use some American currency futures option pricing models proposed by（1）the Barone-Adesi and Whaley（1987）’s Quadratic Approximation Method；（2）the Geske and Johnson（1984）’s Richardson Extrapolation Method；（3）Tsai, Shyu, and Liao（1999）’s Implied Belief Value；（4）Monte Carol Simulation. The models originally were used in stock option market and now we make some corrections in these models. After correcting these option pricing model, we use these models to compute the theory price and compare it with the market price and if there exits obvious difference.
In foreign currency futures option pricing model, all the other variables can be obtained from the market data except the currency futures volatility. The option price is computed using two different methods of computing the unobservable volatility input. Specifically, we compute the currency futures volatility by using History Volatility Approach and GARCH model and substitute it into the American currency futures option pricing model.
In the second part, this paper uses the Regression Analysis Tests to examine the volume effect on option mispricing within the options market. In addition, we also examine the other factor which affect the pricing error, include In-, At-, and Out-of-the-Money Classes, the time to maturity of the options, and the degree of underlying asset return. Finally, this paper gets some result as follow：
(1) The findings indicate inefficiency in these option markets and/or inaccuracy in the specification of the model.
(2) The results indicate that dual relation between mispricing in these American currency futures option pricing models and volume in the JY futures option market.
(3) The model undervalues out-of-the-money options and overvalues in-the-money options.
(4) The degree of relative mispricing of options is decreasing function of the time to maturity of options.
(5) The degree of relative mispricing of options is increasing function of the degree of underlying asset price return.
|
|---|
