A test of the efficiency of the ten year bond futures option traded on the Sydney futures exchange using Black's model for pricing forward contracts

Febo, Laurie J. (1987). A test of the efficiency of the ten year bond futures option traded on the Sydney futures exchange using Black's model for pricing forward contracts Master's Thesis, Department of Commerce, The University of Queensland.

       
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Author Febo, Laurie J.
Thesis Title A test of the efficiency of the ten year bond futures option traded on the Sydney futures exchange using Black's model for pricing forward contracts
School, Centre or Institute Department of Commerce
Institution The University of Queensland
Publication date 1987
Thesis type Master's Thesis
Total pages 110
Language eng
Subjects 14 Economics
Formatted abstract       The primary objective of this study is to test the market efficiency of the Ten Year Bond Futures Option traded on the Sydney Futures Exchange by using Black's option pricing model. In effect, this is a dual test of the model and market efficiency. As a prelude to this, a summary of the theory of option trading is provided. The theory of market efficiency is also examined within the context of futures option markets. This is done by surveying the empirical studies of market efficiency that have been conducted on options traded on futures. Similar studies to this have been carried out overseas on different commodities using a variation of the Black and Scholes Model. However, to the Author's knowledge, a similar study has not been carried out in Australia on the Ten Year Bond Futures Option using Black's model for pricing forward contracts. A test of the data using Black's model reveals certain biases which could be exploited for profitable gains. However, the conclusion is reached that the Black model cannot be used to identify inefficiencies in the Ten Year Bond Futures Option Market and that within the parameters of the study, the market is efficient.

 
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Created: Wed, 20 Oct 2010, 13:32:48 EST by Muhammad Noman Ali on behalf of Social Sciences and Humanities Library Service