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Xiao, Ting (2006) Option Pricing Model in China's Market. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

This particular study was undertaken to investigate the reason for potential problem that will appear once China launch its own options trading.

Derivative market in China is rather under development. Therefore, in order to smooth the launching of options trading, it is necessary to understand the options theory (i.e. the options pricing model). Black-Scholes formula as the most basic model has been used in China's financial market. However, there are many problems of using this formula in China's market. In order to avoid and eliminate the damages that are caused by these problems, it is quite important to investigate the reasons that cause these problems.

This research is going to examine the Black-Scholes formula by using the data from China's warrant market. There are three problems that can be found from the testing results. The main purpose of my research is only going to explain the reasons for one of the problems, which is that the Black-Scholes formula cannot accurately value China's warrants as well as options in China's market. Moreover, according to these reasons, there are some suggestions that will be proposed on how to reduce the harm from the problem.

Item Type:	Dissertation (University of Nottingham only)
Depositing User:	EP, Services
Date Deposited:	05 Jan 2007
Last Modified:	13 Jan 2018 01:31
URI:	https://eprints.nottingham.ac.uk/id/eprint/20548

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