An examination of the valuation of options on the 90-day bank accepted bill futures contract and the efficiency of the Australian market for such options

Moore, Simon. (1988). An examination of the valuation of options on the 90-day bank accepted bill futures contract and the efficiency of the Australian market for such options Honours Thesis, School of Business, The University of Queensland.

       
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Author Moore, Simon.
Thesis Title An examination of the valuation of options on the 90-day bank accepted bill futures contract and the efficiency of the Australian market for such options
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 1988
Thesis type Honours Thesis
Total pages 122
Language eng
Subjects 1502 Banking, Finance and Investment
Formatted abstract       In this thesis, the theory of futures option pricing is reviewed and two of the most widely recognised futures options pricing models, the Black (1976) and the Barone-Adesi & Whaley (1987) models, are developed. These two models are then used in an examination of the valuation of options on the 90-day bank accepted bill futures contract and the efficiency of the Australian market for such options. The findings of this examination being that the Australian futures options market is efficient with respect to the trading strategies examined and that the model option prices are significantly different from, but highly correlated with, the observed market prices. These significant pricing deviations, along with other test results, providing the basis for the conclusion that the models are misspecified for the purpose of valuing options on the 90-day bank accepted bill futures contract.

 
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Created: Thu, 02 Dec 2010, 12:17:14 EST by Muhammad Noman Ali on behalf of The University of Queensland Library