Please use this identifier to cite or link to this item:
Title: Evaluation of Option Investment Based on Black-Scholes Model
Authors: Wan, Dian
Department: Department of Electronic Engineering
Issue Date: 2011
Supervisor: Supervisor: Prof. Chow, Tommy W S; Assessor: Prof. Zukerman, Moshe
Abstract: Caused by the bursting of the U.S. housing and credit bubbles, the global financial crisis starting in 2008 has been widely considered as the most difficult financial episode in the past eighty years. The principal objective of this study is to investigate the financial market during financial crisis and thus providing suggestions for the investment of a particular option. S&P 500 index has being well recognized as the bellwether for U.S. financial market and its options throughout the period from 2007-1-1 to 2009-12-31 were selected for investigation. The whole study fell into three main stages. During the first stage, I verified the validation of a commonly used derivative investment instrument--Black-Scholes Model, whose developers were rewarded the 1997 Nobel Prize in Economics for their great contribution in modelling option pricing. The second stage was the classification of various options based on the Black-Scholes Model by using K-Means Clustering approach. A java program was written in the third stage for the purpose of analysing an option specified by user and giving some useful recommendations.
Appears in Collections:Electronic Engineering - Undergraduate Final Year Projects

Files in This Item:
File SizeFormat 
fulltext.html145 BHTMLView/Open

Items in Digital CityU Collections are protected by copyright, with all rights reserved, unless otherwise indicated.