TITLE

A COMPARISON OF THE BEHAVIOUR OF MARKET OPTION PRICES IN RELATION TO OPTION PRICES RESULTING FROM THE BLACK-SCHOLES MODEL DURING PERIODS OF A BULL AND BEAR MARKET

AUTHOR(S)
Forlicz, Maria
PUB. DATE
September 2011
SOURCE
Mathematical Economics;2011, Vol. 7 Issue 14, p71
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
In continuation to one of my previous papers (Kształtowanie się cen opcji indeksowych a ich wycena na podstawie modelu Blacka-Scholesa), where the research problem to what extent pricing of option using theoretical models is tangent to the behaviour of market option prices in Polish conditions was scrutinized, in the present work it is verified whether there exist significant differences between the behaviour of market option prices in relation to option prices resulting from the Black-Scholes model during periods of a bull and bear market. In order to make those comparisons, the parameters of the lines of regression describing the dependence of market prices of options for index WIG20 on their prices resulting from B-S model were calculated. On the basis of these calculations, it is possible to say how market prices resemble prices resulting from the model. The research was conducted for two periods of similar length, assuming that between 20 September 2004 and 18 March 2005 we had a bull market and during the days between 1 August 2008 and 20 March 2009 the market was bearish.
ACCESSION #
84347064

 

Related Articles

  • Equity Markets and the Performance of Hedge Funds: How stable is Persistence? Gantenbein, Pascal; Glatz, Stephan; Zimmermann, Heinz // GSTF Business Review;Jun2013, Vol. 2 Issue 4, p231 

    We investigate the performance of hedge funds in bull and bear equity markets. Covering the period from January 1994 to December 2008, we find that each bull and bear market period has its dominant independent variables. Furthermore, the level of performance persistence is not significantly...

  • Option selling: Getting defensive. Zurick, Tim // Futures: News, Analysis & Strategies for Futures, Options & Deri;Mar2005, Vol. 34 Issue 4, p42 

    Presents trading techniques and methods in selling and trading stocks in the cotton industry in the U.S. Details of the basic short models in the bear markets; Application of the so-called short triangle as primary protection of stocks in the bullish market; Evaluation of the application of...

  • Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan's Futures Market. Ullah Khan, Safi; Abbas, Zaheer // Lahore Journal of Economics;Jan-Jun2013, Vol. 18 Issue 1, p63 

    This paper examines the behavior of beta coefficients (systematic risk) for underlying stocks around the introduction of single-stock futures (SSFs) contracts in the Pakistani market, by employing models that account for nonsynchronous and thin trading and varying market conditions as "bull" and...

  • Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns? Bali, Turan G.; Murray, Scott // Journal of Financial & Quantitative Analysis;2013, Vol. 48 Issue 4, p1145 

    We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the underlying stock price...

  • Market looking better, but remain cautious. Hauke, Keenan // Indianapolis Business Journal;6/8/2009, Vol. 30 Issue 14, p22A 

    The author discusses the stability condition of the stock market after the bear market sets its place which also relates to the confidence of investors to get heavy in stocks. He suggests that though recent headlines would have investors to think it is time for heavy, multiyear equity investing,...

  • How Now Dow?  // DRIP Investor;Aug2010, Vol. 19 Issue 8, p1 

    In this article the author discusses the aspects of Dow Theory to discern whether the U.S. market's primary trend is bearish or bullish. He does not recommend the use of Dow Theory in an all-or-nothing fashion because of the reason that it is infallible. However, he prefers to consider Dow...

  • The bull and bear explained - and how to plan for both varieties of markets. Conte, Anthony M. // Central Penn Business Journal;4/19/2013, Vol. 29 Issue 17, p19 

    The article offers information on the bullish and bearish phenomenon of the stock markets.

  • Stock market not ready for bear quite yet. Hauke, Keenan // Indianapolis Business Journal;8/30/2010, Vol. 31 Issue 26, p26A 

    The article discusses the trends in the stock market wherein the bear market and bull market are being compared.

  • Tug of war continues for Bulls and Bears.  // Hudson Valley Business Journal;8/2/2010, Vol. 21 Issue 31, p8 

    In this article the author discusses aspects of the continued struggle between the Bull and Bear markets which shows stronger earnings and lukewarm economic indicators on companies in the U.S.

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics