An Empirical Analysis of the Black-Scholes Equation & Put-Call Parity in KOSPI200 Index Futures & Option Market

Abstract

Basically the option pricing model was developed for the purpose of option pricing itself, so we can calculate the theoretical price of futures & options by using option pricing model. In this paper, I estimated and calculated theoretical option prices by using Black-Scholes option pricing model & put-call parity equation in order to compare the differences between theoretical price and market price of KOSPI200 index futures & option.

In this empirical analysis, I use KOSPI200 index futures & option market, and I selected two different period from March 2012 to September 2012 & from June 2012 to September 2012 to figure out that what results we can get near the maturity date. Also I use three different interest rate 3.25%, 3.50%, and 3.75% to compare the difference in this test.