The Simulation of European Call Options’ Sensitivity Based on Black-Scholes Option Formula

Yujie Cui, Baoli Yu

College of Economics and Business Administration, North China University of Technology, Beijing, China.
College of Science, North China University of Technology, Beijing, China.

DOI: 10.4236/jmf.2012.23029                

Abstract

As the Stock index futures with Cri 300 index for the subject matter launch, the research to stock options done by China’s financial market is gradually in-depth, which has great significance to the improvement of the financial markets. With the Black-Scholes option formula, this paper attempts to study the sensitivity of single stock’ call option named Industrial and Commercial Bank of China Limited to stock price changes, time changes and the situation that both of them occur. The simulation results were achieved based SAS, which not only has a very important practical significance to the launch of this kind financial derivative and the establish of a perfect pricing model of financial derivatives, but also can help financial market further promote economic growth.

Keywords

Black-Scholes Options; Sensitivity; European Call Options

Conflicts of Interest

The authors declare no conflicts of interest.

References

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