The Valuation of European Option on Underlying Stock Price Based on AAPL index

DOI

10.2991/aebmr.k.220307.036How to use a DOI?

Keywords

Black-Scholes model; European option; option price

Abstract

Simulating option prices is one of the most commonly used arbitrage investment methods by financial investors at present. In this paper, the Black-Scholes model is used to simulate option price, which is widely used in option valuation. At the same time, taking the European option as an example, this paper selects the daily underlying stock price data of Apple Inc. from November 2018 to October 2021 and obtains a total of 745 observed values. Secondly, by searching and calculating the value of relevant parameters, the simulated option value and the price of call and put options are obtained. The results were in line with expected price movements. Finally, considering that the single target data cannot explain the robust results, sensitivity tests of different strike prices, different risk-free interest rates, and different maturity dates are carried out. The results show that the option prices under different conditions are consistent with the expected prices. To sum up, in this paper it is of theoretical and practical significance to simulate European option price based on the underlying stock price.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Wanquan Wu
AU  - Shuya Zhang
PY  - 2022
DA  - 2022/03/26
TI  - The Valuation of European Option on Underlying Stock Price Based on AAPL index
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 230
EP  - 235
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.036
DO  - 10.2991/aebmr.k.220307.036
ID  - Wu2022
ER  -