Luận văn thạc sĩ valuation of european gold option in vietnam
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Luận văn thạc sĩ valuation of european gold option in vietnam
Luận văn thạc sĩ valuation of european gold option in vietnam
MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITYHuynh Ngoc TrangVALUATION OF EUROPEAN S.IC GOLI) OPTIONIN VIETNAMECONOMICS Luận văn thạc sĩ valuation of european gold option in vietnam MAS TER THESISIn Banking Ology code: 60.31.12Supervisor Dr. Pham Hull Hong ThaiHo Chi Minh city, 2010ACKNOWLEDGEMENTThis research project would not have been possible without the support of many people. Firstly 1 wish to express my deep sincere gratitude to my supervisor. Dr. Pham Hull Hong Thai fo Luận văn thạc sĩ valuation of european gold option in vietnam r his invaluable advices and helps. Without him. this thesis could not have been completed. Special thanks to all instructors without whose knowledgeLuận văn thạc sĩ valuation of european gold option in vietnam
and assistance this study would not have been successfill.1 would like to express my deepest gratitude and honor to my dear parents for not only the lMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITYHuynh Ngoc TrangVALUATION OF EUROPEAN S.IC GOLI) OPTIONIN VIETNAMECONOMICS Luận văn thạc sĩ valuation of european gold option in vietnam all of my classmates, Ms Vu Illi Thu Van and Mr Tran Quoc Trong for all of their friendship and encouragement. Ĩ also wish to thank my friends in Eximbank for their great support.Finally, my greatest thanks would go to my husband. Mr Ĩ.C Minh Nhat who is the greatest inspiration and encouragement fo Luận văn thạc sĩ valuation of european gold option in vietnam r me to overcome all difficulties through the duration of my study.1ABSTRACTThe main idea of this thesis is to find the most suitable approach to theLuận văn thạc sĩ valuation of european gold option in vietnam
valuation of SJC gold. We use rhe modified Black-Scholes model to price European S.ĨC gold brand option in Vietnam, our focus is to compare the differMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITYHuynh Ngoc TrangVALUATION OF EUROPEAN S.IC GOLI) OPTIONIN VIETNAMECONOMICS Luận văn thạc sĩ valuation of european gold option in vietnam 15/8/2010. The results show that the option price derived by modified Black-Scholes model is different from the option price in TOCOM. Since the two option price is different, we carry out the ex post and ex ante test to investigate the efficiency of Vietnam gold option market when applying the opti Luận văn thạc sĩ valuation of european gold option in vietnam on price in TOCOM into Vietnam. The evidences from these tests provide the rejection of our hypothesis of market efficiency due to the existing of abnLuận văn thạc sĩ valuation of european gold option in vietnam
ormal profit.Key words: SJC gold, option pricing, modified Black-Scholes model. Vietnam gold market.https: //k hot h u vien .com2TABLE OF CONTENTAcknoMINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITYHuynh Ngoc TrangVALUATION OF EUROPEAN S.IC GOLI) OPTIONIN VIETNAMECONOMICS Luận văn thạc sĩ valuation of european gold option in vietnam odels 10 and some empirical evidences2.1Option and boundary conditions102.1.1Lippur bound102.1.2T ower bound112.2Review of modified Black- Scholes model112.3Some empirical evidences142.4Testing the market efficiency of K.Shastri and K.Tandon172.5Volatility18Chapter 3: Research methodology213.1Data21 Luận văn thạc sĩ valuation of european gold option in vietnam MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITYHuynh Ngoc TrangVALUATION OF EUROPEAN S.IC GOLI) OPTIONIN VIETNAMECONOMICSGọi ngay
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