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 JMF  Vol.2 No.3 , August 2012
The Simulation of European Call Options’ Sensitivity Based on Black-Scholes Option Formula
Abstract: As the Stock index futures with Cri 300 index for the subject matter launch, the research to stock options done by China’s financial market is gradually in-depth, which has great significance to the improvement of the financial markets. With the Black-Scholes option formula, this paper attempts to study the sensitivity of single stock’ call option named Industrial and Commercial Bank of China Limited to stock price changes, time changes and the situation that both of them occur. The simulation results were achieved based SAS, which not only has a very important practical significance to the launch of this kind financial derivative and the establish of a perfect pricing model of financial derivatives, but also can help financial market further promote economic growth.
Cite this paper: Y. Cui and B. Yu, "The Simulation of European Call Options’ Sensitivity Based on Black-Scholes Option Formula," Journal of Mathematical Finance, Vol. 2 No. 3, 2012, pp. 264-268. doi: 10.4236/jmf.2012.23029.
References

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[4]   F. Black and M. Scholes, “The Pricing of Options for Alternatives Stochastic Processes,” Journal of Political Economy, Vol. 81, No. 3, 1973, pp. 637-654. doi:10.1086/260062

[5]   F. Black, M. Jensen and M. Scholes, “The Captial Asset Pricing Model: Some Empirical Tests,” Studies in the Theory of Capital Markets, Praeger, New York, 1972.

[6]   http://quotes.money.163.com/0601398.html

 
 
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