ISSN 2394-5125
 

Research Article 


EXPLORING THE EFFECT OF VARYING OPTIONS EXPIRATION AND MONEYNESS IN THE BLACK-SCHOLES MISPRICING

Muhammad Atif Sattar, Muhammad Fahad Sattar, Amir Sohail, Summra Khalid, Kamran Mukhtar, Syed Shahbaz Munir.

Abstract
This study investigates mispricing in the Black-Scholes model, the effect of time to expiration and moneyness in pricing error
of SSE 50 ETF. Black-Scholes predicted prices compared with market prices to find an error in the model, and then
examined the degree of mispricing in categories by time to expiration and moneyness of call options. Our results indicate
there is a difference between predicted prices and market prices. Options with short maturity have high pricing errors while
long maturity comes up with a low error. Deep out-the-money (deep OTM) occurs the highest mispricing and so on move
toward deep in-the-money (deep ITM) error decreases. Black-Scholes model underprices for short time to maturity and deep
out-the-money options. Study improvises options prices influence by time to maturity and moneyness of 50 ETF call options
trading on shanghai stock exchange.

Key words: Black-Scholes Mispricing, Options time to expiration, Out-the-money (OTM), In-the-money (ITM), SSE 50 ETF


 
ARTICLE TOOLS
Abstract
PDF Fulltext
How to cite this articleHow to cite this article
Citation Tools
Related Records
 Articles by Muhammad Atif Sattar
Articles by Muhammad Fahad Sattar
Articles by Amir Sohail
Articles by Summra Khalid
Articles by Kamran Mukhtar
Articles by Syed Shahbaz Munir
on Google
on Google Scholar


How to Cite this Article
Pubmed Style

Muhammad Atif Sattar, Muhammad Fahad Sattar, Amir Sohail, Summra Khalid, Kamran Mukhtar, Syed Shahbaz Munir. EXPLORING THE EFFECT OF VARYING OPTIONS EXPIRATION AND MONEYNESS IN THE BLACK-SCHOLES MISPRICING . JCR. 2020; 7(5): 2235-2243. doi:10.31838/jcr.07.05.383


Web Style

Muhammad Atif Sattar, Muhammad Fahad Sattar, Amir Sohail, Summra Khalid, Kamran Mukhtar, Syed Shahbaz Munir. EXPLORING THE EFFECT OF VARYING OPTIONS EXPIRATION AND MONEYNESS IN THE BLACK-SCHOLES MISPRICING . http://www.jcreview.com/?mno=132189 [Access: August 18, 2021]. doi:10.31838/jcr.07.05.383


AMA (American Medical Association) Style

Muhammad Atif Sattar, Muhammad Fahad Sattar, Amir Sohail, Summra Khalid, Kamran Mukhtar, Syed Shahbaz Munir. EXPLORING THE EFFECT OF VARYING OPTIONS EXPIRATION AND MONEYNESS IN THE BLACK-SCHOLES MISPRICING . JCR. 2020; 7(5): 2235-2243. doi:10.31838/jcr.07.05.383



Vancouver/ICMJE Style

Muhammad Atif Sattar, Muhammad Fahad Sattar, Amir Sohail, Summra Khalid, Kamran Mukhtar, Syed Shahbaz Munir. EXPLORING THE EFFECT OF VARYING OPTIONS EXPIRATION AND MONEYNESS IN THE BLACK-SCHOLES MISPRICING . JCR. (2020), [cited August 18, 2021]; 7(5): 2235-2243. doi:10.31838/jcr.07.05.383



Harvard Style

Muhammad Atif Sattar, Muhammad Fahad Sattar, Amir Sohail, Summra Khalid, Kamran Mukhtar, Syed Shahbaz Munir (2020) EXPLORING THE EFFECT OF VARYING OPTIONS EXPIRATION AND MONEYNESS IN THE BLACK-SCHOLES MISPRICING . JCR, 7 (5), 2235-2243. doi:10.31838/jcr.07.05.383



Turabian Style

Muhammad Atif Sattar, Muhammad Fahad Sattar, Amir Sohail, Summra Khalid, Kamran Mukhtar, Syed Shahbaz Munir. 2020. EXPLORING THE EFFECT OF VARYING OPTIONS EXPIRATION AND MONEYNESS IN THE BLACK-SCHOLES MISPRICING . Journal of Critical Reviews, 7 (5), 2235-2243. doi:10.31838/jcr.07.05.383



Chicago Style

Muhammad Atif Sattar, Muhammad Fahad Sattar, Amir Sohail, Summra Khalid, Kamran Mukhtar, Syed Shahbaz Munir. "EXPLORING THE EFFECT OF VARYING OPTIONS EXPIRATION AND MONEYNESS IN THE BLACK-SCHOLES MISPRICING ." Journal of Critical Reviews 7 (2020), 2235-2243. doi:10.31838/jcr.07.05.383



MLA (The Modern Language Association) Style

Muhammad Atif Sattar, Muhammad Fahad Sattar, Amir Sohail, Summra Khalid, Kamran Mukhtar, Syed Shahbaz Munir. "EXPLORING THE EFFECT OF VARYING OPTIONS EXPIRATION AND MONEYNESS IN THE BLACK-SCHOLES MISPRICING ." Journal of Critical Reviews 7.5 (2020), 2235-2243. Print. doi:10.31838/jcr.07.05.383



APA (American Psychological Association) Style

Muhammad Atif Sattar, Muhammad Fahad Sattar, Amir Sohail, Summra Khalid, Kamran Mukhtar, Syed Shahbaz Munir (2020) EXPLORING THE EFFECT OF VARYING OPTIONS EXPIRATION AND MONEYNESS IN THE BLACK-SCHOLES MISPRICING . Journal of Critical Reviews, 7 (5), 2235-2243. doi:10.31838/jcr.07.05.383