Analyzing the investment strategies on option contract based on the Black-Scholes model-evidence from the gold coin option contracts in Iran mercantile exchange

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Amiri Mahdie; MIRZAPOUR AKBAR; Akbari Moghadam BitoAllah

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:11 | Issue:40 Page(s): 47-63

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Title

Analyzing the investment strategies on option contract based on the Black-Scholes model-evidence from the gold coin option contracts in Iran mercantile exchange

Author(s)

Amiri Mahdie | MIRZAPOUR AKBAR | Akbari Moghadam BitoAllah | Issue Writer Certificate

Keywords

Call OptionQ2

put OptionQ2

Asymmetric StrategiesQ2

Black-Scholes modelQ2

Abstract

The purpose of this research is the pricing of gold coin option contracts based on the Black-Scholes model and identification of the profitable strategies in the Iran mercantile exchange. For this purpose, The theoretical prices of the option contracts based on the Black-Scholes method have been compared whith market prices for each maturity from December 2016 to September 2017. (200 working days in the Iran mercantile exchange). The volatility of the gold coin in the market has been estimated by the GARCH method as a variable in the pricing models. The results of the research indicates that the market prices of gold coin option contracts in Iran mercantile exchange were lower than the theoretical prices in 53 to 100% of investment days, (at different strike price) Also, the Bull Call Spread for the gold coin option contracts in Iran mercantile exchange with Exercise dates of January 2017, the the Bull Call Spread and Butterfly Spread for option contracts with the maturity of November 2017 are profitable.

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APA: Copy

Amiri, Mahdie, MIRZAPOUR, AKBAR, & Akbari Moghadam, BitoAllah. (2019). Analyzing the investment strategies on option contract based on the Black-Scholes model-evidence from the gold coin option contracts in Iran mercantile exchange. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 11(40 ), 47-63. SID. https://sid.ir/paper/200355/en

Vancouver: Copy

Amiri Mahdie, MIRZAPOUR AKBAR, Akbari Moghadam BitoAllah. Analyzing the investment strategies on option contract based on the Black-Scholes model-evidence from the gold coin option contracts in Iran mercantile exchange. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;11(40 ):47-63. Available from: https://sid.ir/paper/200355/en

IEEE: Copy

Mahdie Amiri, AKBAR MIRZAPOUR, and BitoAllah Akbari Moghadam, “Analyzing the investment strategies on option contract based on the Black-Scholes model-evidence from the gold coin option contracts in Iran mercantile exchange,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 11, no. 40 , pp. 47–63, 2019, [Online]. Available: https://sid.ir/paper/200355/en

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